Volatility Forecast

General
1

I am trying to use historical data to more accurately predict the future volatility. This will include share movements (high-low-close) and implied volatility.

Hence, I would like a regression to place optimal coefficients on the implied volatility and past daily movements to forecast the next 20 day volatility (eg will put a exponentially decaying on previous daily price range plus some contribution from implied volatility to most accurately predict the next 20 day volatility).

2

Ordinary least squares regression requirements are often unsatisfied in time series. Consider autogregressive methods, such as ARIMA

3

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