historical curve databases & historical ff vols dear all ,
as promised , i cleaned up the data and put it into 6 spreadsheet files ( we
will do gold and cocoa separately ) . i also ran 10 , 20 , 30 and 60 day fwd fwd
volatility calculations based on historical log return data - you can see the
results at the bottom of the sheet called " log returns " for each of the six
spreadsheets attached below .
the data in the files is ready for pca analysis . we can use either the fwd
fwd vols from recent history or implied option quotes to complete the
analysis .
regards ,
anjam
p . s . we have already done the pca on aluminum h ( high grade , so please don ' t
repeat the analysis for that one )
final files :
al _ h :
historical curve databases & historical ff vols
dear all ,
as promised , i cleaned up the data and put it into 6 spreadsheet files ( we
will do gold and cocoa separately ) . i also ran 10 , 20 , 30 and 60 day fwd fwd
volatility calculations based on historical log return data - you can see the
results at the bottom of the sheet called " log returns " for each of the six
spreadsheets attached below .
the data in the files is ready for pca analysis . we can use either the fwd
fwd vols from recent history or implied option quotes to complete the
analysis .
regards ,
anjam
p . s . we have already done the pca on aluminum h ( high grade , so please don ' t
repeat the analysis for that one )
final files :
al _ h :