![](https://www.tumblr.com/widgets/share/tool?posttype=photo&canonicalUrl=https%3A%2F%2Fcdnx.numxl.com%2Fcontent%2Fgarch11-local%2F&content=https%3A%2F%2Fcdnx.numxl.com%2Fstorage%2Fcache%2Fimages%2F000%2F084%2Fgarch-spdr-vol-forecast%2Flarge.1598027263.png&caption=%3Cp%3E%3Cstrong%3E%3Ca href="https%3A%2F%2Fcdnx.numxl.com%2Fcontent%2Fgarch11-local%2F" title="GARCH(1,1) Local olatility forecast for S&P 500 log monthly returns"%3EGARCH(1,1) Local olatility forecast for S&P 500 log monthly returns%3C/a%3E%3C/strong%3E%3C/p%3E%3Cp%3EIn+this+plot%2C+we+show+the+local+volatility+%28aka+forecast+standard+error%29+over+the+forecast+horizon.+Note+that+volatility+revert+to+its+long+term+mean+%28aka+VL%29.%3C/p%3E){kind=link}
GARCH(1,1) Local olatility forecast for S&P 500 log monthly returns
In this plot, we show the local volatility (aka forecast standard error) over the forecast horizon. Note that volatility revert to its long term mean (aka VL).
Spider Financial Assets Management System