GMV-Optimizing My Wife’s Portfolio
My wife caught the investing bug. She recently put together a portfolio of healthcare, consumer (cyclical and defensive), technology services,…
Tag: Investing
Peloton’s Implied Volatility & Delta Hedge
Today, let’s dig into Peloton (ticker: PTON). The purpose of this post is to: Forecast PTON’s volatility at a point…
Moderna & AbbVie: Dynamic Covariance
Today, let’s look at dynamic covariance for biotech diversification and weighting, building on our previous post on GARCH models for…
Spotify: Dynamic Conditional Beta
Spotify (ticker: SPOT), which went public cash flow-positive as a direct listing back in April 3, 2018, is one of…
Moderna: Modeling Volatility with GARCH
Today, we’ll model and forecast Moderna equity volatility (ticker: MRNA) using generalized autoregressive conditional heteroskedacity(GARCH). I was inspired by a…