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E_Raviv

Eran Raviv

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Time Series Visualization
Time Series Visualization
dygraph example
dygraph example
Forecasting volatility using linear regression
I show how to produce volatility forecasts using Realized Range measures. The forecasts are linear in lags so can be produced using the simple "lm" function. I also provide the data for the tutorial, intra-day prices, minute by minute for the S&P 500 ETF (Ticker is SPY).