I am working with data related to options and I have a series of implied volatility derived from it. I want to model this time series.
I know GARCH(1,1) and EWMA are used when we have volatility clustering, but that's when we are modeling volatility of assets and we have the return series corresponding to the changes in asset prices.
The key difference here is that the series itself is that of volatility. So I am thinking since there has to to be auto-correlation in the volatility, maybe an AR(1) model would be better than GARCH or EWMA? I am not sure if there is clustering in volatility of volatility.