In the last Skinny, we introduced GARCH models, which can be used to model the time-varying volatility and volatility clustering commonly found in financial signals.
Today we are going to test one application of GARCH models: implied volatility forecasting.
Join Tom, Tony and Julia as they discuss whether trading more selectively according to GARCH volatility forecasts can increase the average P/L per trade when trading SPY strangles.
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