Volatility Forecasting Using GARCH Models

This research project analyzes Tesla's options volatility using the GARCH (Generalized Autoregressive Conditional Heteroskedasticity) model. The study uses Bloomberg terminal data to examine Tesla's options prices over a 6-month period and predicts volatility for the next 100 days. The researchers found that Tesla's options volatility is expected to decrease over this period, suggesting lower expected returns and losses for traders. They also note that incorporating ARIMA with GARCH could potentially improve the model's forecasting accuracy, though this wasn't implemented in their analysis.