Recent content by lovepopov

actually i am building this for traders. And i decided to use options on 6-month forward contracts(because i am modeling power products, which are likely to be very unreliable after 6 months) to build my model. I just dont know how to incorporate the IV in the garch model, which usually deals...

haha, thanks mmone, i'll let you know once i work it out. But the problem is that i have to build a volatility term structure, extending to Dec 09. So i guess the historical data are all i have..

Hello guys, I am working on forecasting volatilities. Right now I have implied volatilities backed out from options expiring in promt month, 1 month later, ... 6 month later, and i want to use these data as well as historical prices to forecast volatilites for the next year. Any ideas on that...