A measure of the variation in price over time. Also a measure of the risk of a financial instrument.
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139 views
How to enumerate all the possible portfolios with a given target volatility?
Let's say I have $n$ assets and their returns are stored in a matrix $X \in \mathbb{R}^{m \times n}$ (i.e. I have $m$ returns for each of them.
The covariance matrix of the returns is $\Sigma \in ...
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0answers
154 views
Gamma vs. Volatility Risk
Original Question: What is the link between Gamma and the Volatility Risk?
It leads me to ask:
- What is the Volatility Risk definition and what are the good practices to measure it?
Thinking about ...
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0answers
81 views
EUR/PLN and EUR/USD delta-term-vol surface quoting convension
does anyone know for sure what is the FX market convension to quote delta-term pairs for EUR/PLN, for EUR/USD. I know that for EUR/PLN it should be delta p.a forward, for EUR/USD it should be delta ...
2
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0answers
149 views
Markov-Switching E-GARCH with R
I am looking for a R library for modeling a Markov-Switching E-GARCH process.
In other questions at StackExchange related to GARCH models, the package rugarch is often mentionned. Do you recommend it ...
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0answers
111 views
Yield Curve Volatility
Let you have several issuers, and let each issuer have its yield curve built up with liquid plain vanilla fixed rate bonds.
Each yield curve has its slope and its curvature, and they obviously change ...
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66 views
What models for backing out Equity IVOL [duplicate]
Possible Duplicate:
How should I calculate the implied volatility of an American option in a real-time production environment?
I am starting a project and would be grateful for some ...
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2answers
84 views
Relationship between European, American options volatility
Suppose, if the price of a European option (say a put) can be shown to be monotone in volatility (say for any maturity), does it follow that American options has to be monotone in volatility?
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1answer
212 views
How to interpret/use VaR and Standard Deviation?
The parametric VaR is defined as follows:
$$VaR=Z_a*Vol$$
Is this the best way to interpret how much risk is being taken on for a particular asset?
How does one interpret volatility on its own if ...
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1answer
164 views
Why does $\hat{\epsilon}'\hat{\epsilon}$ of a factor model measure risk?
$\hat{\epsilon}'\hat{\epsilon}$ from the market model: $R_{it} - \hat{\alpha} - \hat{\beta}R_{mt} = \hat{\epsilon}$, or from a factor model such as the Fama-French 3 factor model, is often used in the ...
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2answers
276 views
What is the instantaneous P&L of a Variance Swap?
What is the instantaneous P&L of a variance swap.
Is it $(\sigma^{2}_{t}-\sigma^{2}_{implied})dt$?
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1answer
116 views
Brent Crude Data
I am trying to locate historical volatility data (5+ years) for Brent Crude? Does anyone know where I might be able to source such data?
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1answer
583 views
How is mean reversion implied by different valuations of Bermudan swaptions?
Someone told me that mean reversion can be implied by the different valuations of bermudan swaptions when using different methods for volatility calibration. Does anyone know what this means?
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1answer
302 views
What does this formula (to derive annualized volatility from VaR) mean?
I'm faced with the formula shown in the image below, which I just don't understand, in part because I've no grounding in stats, and in part because I don't even understand the notation:
What's ...
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1answer
178 views
Calculate historical (ATM) option prices with public data
I just saw the question How to calculate the most realistic historical option prices with additional publicly available parameters and I am interested in the step before that.
How can I calculate ...
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0answers
59 views
How to measure if variance is greater at a certain time of day?
I'm not very fluent in the quant vernacular, so perhaps the nature of my question will be better illustrated as a hypothesis.
One market has closed and another market elsewhere on Spaceship Earth is ...
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0answers
69 views
How to trade risk-adjusted returns?
Why does dividing daily returns by daily range eliminates fat tails and results in an (almost) gaussian distribution?
And how could that distribution be exploited to enter trades?
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0answers
98 views
Unsystematic/Idiosyncratic/Firm-specific volatility/variance in the market model?
I was asked to use idiosyncratic volatility as a regressor in a cross-sectional regression upon cross-sectional returns as the dependent variable. Returns can be thought of as the raw log stock return ...
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0answers
287 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 ...
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0answers
337 views
Using volatility cycles to switch between trend following & range bound trading? [closed]
"...a low volatility environment is usually a good environment for trend following strategies; see Jez Liberty’s state of trend following report here..."
...
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2answers
200 views
Why the implied volatilities calculated are so different
I Calculated facebook option(expired in 12/4/13) Implied Volatility with the Bisection Method. The program will be attached at the end. The results for different strike prices are so different:
...
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1answer
69 views
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1answer
67 views
volatility Table and BS formula
assume I have implied FX volatility Delta-Term table from broker. I have time noticed as 2M, 3M. what do I have to put into BS formula, is it 2/12 or "count the business days"/"daycount basis"?
I am ...
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1answer
51 views
Volatility Index Weighting Scheme
Among the several weighting schemes used for constructing volatility indices, which ones are the best for forecasting (realized) volatility? I've constructed a volatility index for emerging markets ...
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65 views
Volatility of a rolling window strategy
What methods can be applied to determine the volatility of strategy using a rolling window? Using normal standard deviation would bias the results as the returns will be highly correlated. Although, ...
