Chapter 7Volatility Prediction
We use the term volatility prediction to mean the prediction of the squared return
where 
is the current time, 
is the prediction horizon, and
are either the net return or the log return of an asset with prices 
. A closely related concept is the estimation of the conditional variance
where 
is the conditional expectation. Since the squared conditional expectation 
is often negligible as compared to 
, the estimation of the conditional variance is close to the estimation of the conditional expectation of the squared return
The conditional expectation of
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