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    GARCH and EWMA

    Hi David, I reviewed your answer again. Got a new question mark this time about this sentence: because EWMA (without simulating future return innovations) doesn't model a long-term variance or otherwise contain any forward-looking mechanism. Are you saying EWMA is not simulating future...
  2. E

    GARCH and EWMA

    Thanks! @ShaktiRathore That helps a lot.
  3. E

    GARCH and EWMA

    Hi, In Linda Allen chapter 2, I am confused on the question 4 right after the note. It's saying EWMA can only project the current volatility into future. Doesn't that conflict of ' EWMA can not forecast'? Feel like i miss some logic points here. Thanks...
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    Mixture distribution

    Thanks !
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    Mixture distribution

    Hi, In Chapter 4 of Miller, it says If two normal distributions have the same mean, they combine (mix) to produce mixture distribution with leptokurtosis (heavy-tails). Otherwise, mixtures are infinitely flexible. what does that 'otherwise' mean? Does it mean if those two normals have...
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