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garch-forecasting

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A quant research project that tests whether **implied volatility** tends to be overpriced relative to **model-estimated volatility**. The study compares **India (NIFTY + India VIX)** and **US (S&P 500 + VIX)** using rolling GARCH forecasts, volatility spreads, and forward 5-day outcome testing.

  • Updated May 31, 2026
  • Python

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