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CHAPTER 13FORECASTING VOLATILITY I
Figure 13.1 The Forecasting Problem
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13.1.2 Volatility Within the Context of Our Forecasting Problem
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Figure 13.2 U.S. Real GDP with Volatility Bands
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13.2 Time-Varying Dispersion: Empirical Evidence
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Figure 13.3 Volatility of Consumer Price Index Inflation
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Figure 13.4 Global Inflation Rate
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Figure 13.5 Monthly Returns of the SP500 Index
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Table 13.1 Summary of the Dispersion in the Monthly Returns to the SP500
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13.3 Is There Time Dependence in Volatility?
Figure 13.6 Time Series of SP500 Index, Yen/Dollar Exchange Rate, and 10-year Treasure Note Yield
Table 13.2 Unit Root Testing: Value of the Dickey-Fuller Test
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Figure 13.7 Transformations of Weekly Returns to the SP500 Index and Their Autocorrelations
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Figure 13.7 Transformations of Weekly Returns to the SP500 Index and Their Autocorrelations (continued)
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Figure 13.8 Transformations of Daily Returns to Yen/Dollar Exchange Rate and Their Autocorrelations
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Figure 13.8 Transformations of Daily Returns to Yen/Dollar Exchange Rate and Their Autocorrelations (continued)
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Figure 13.9 Transformations of Daily Returns to the 10-Year Treasury Notes and Their Autocorrelations
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Figure 13.9 Transformations of Daily Returns to the 10-Year Treasury Notes and Their Autocorrelations (continued)
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Figure 13.10 Unconditional Histograms of SP500,Exchange Rate, and 10-Year Treasury Returns
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Figure 13.10 Unconditional Histograms of SP500,Exchange Rate,10-Year Treasury Returns(continued)
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Figure 13.11 Rolling Window Volatility Forecast
13.5.1 Rolling Window Volatility
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Figure 13.12 EWMA Volatility Forecast
13.5.2 Exponentially Weighted Moving Average (EWMA) Volatility