A measure of the variation in price over time. Also a measure of the risk of a financial instrument.

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2answers
128 views

Negative high frequency intraday volatility - Zhou estimator

To estimate high frequency tick data stock intraday volatility, I have read Robert Almgren's notes7.pdf http://www.cims.nyu.edu/~almgren/timeseries/notes7.pdf where he talks about the bias free ...
4
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1answer
215 views

Moving window forecasting in Python

I am looking to create some code that will out-of-sample forecast the HAR-RV model. The model itself is formulated as the following, and the betas are estimated through HAC-OLS or Newey-West. ...
4
votes
1answer
1k views

Historical volatility from close prices (Haug pg 166)

I have implemented a function for calculating historical volatility using close the close method as described by Haug on page 166. When I implemented the formula given by Haug, it resulted in some ...
3
votes
1answer
180 views

How to calculate implied volatility smile of basket using correlations?

For a basket, the realized volatility can be calculated using: $$\sqrt{\sigma_1^2 + \sigma_2^2 + 2 \sigma_1 \sigma_2 \rho}$$ If I have the volatility surface of two underlyings S1,S2 (strike space). ...
2
votes
1answer
105 views

How to get around flat likelihood function when calibrating GBM parameters

(Hope this is the correct place for this question - I posted it first on stackoverflow:) I want to calibrate jointly the drift mu and volatility sigma of a geometric brownian motion, ...
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votes
1answer
58 views

Calculate the realised volatility from a time series

Does anybody know how to calculate the realised volatility from a series for a certain time frame? For example, I am looking at 5 days, 21 days, 63 days, 126 days and 253 days. thanks
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0answers
142 views

How to calculate modeled asset volatility by industry factor?

Currently I am working with huge data frame which consists of a lot firms. For each firm in my sample I calculated asset volatility ( I am using Merton default probability model, so I have used 2 ...
-1
votes
0answers
29 views

Convert volatility of log returns into volatility of asset (bollinger bands)

I am using a model to estimate the volatility of the log-returns of an asset (standard stochastic volatility model for info) The main question is: How can I find back the windowed volatility of this ...