What is the difference between the exponentially weighted moving average model and the GARCH(1,1) model for updating

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What is the difference between the exponentially weighted moving average model and the GARCH(1,1) model for updating volatilities?

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Options Futures and Other Derivatives

ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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Question Posted: Feb 12, 2018 12:22 PM

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What is the difference between the exponentially weighted moving average model and the GARCH(1,1) model for updating

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The EWMA model produces a forecast of the daily variance r...View the full answer

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