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

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598 views

How to compute a sector's volatility within a portfolio?

Assume I have a large portfolio of equities spread across three sectors. I am attempting to compute the volatility of these sectors within the portfolio considering the cross correlations among the ...
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31 views

Pattern recognition through moments [closed]

Can the extent of mean reversion and trend in a given price dataset be explained by a combination higher moments (skewness/kurtosis) of returns? If yes, how do we combine these moments to come up with ...
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38 views

Volatility of CDS

I have calibrated a stochastic intensity CIR model to CDS data. The model reads $d \lambda_t = \kappa(\theta-\lambda_t)dt+\sigma \sqrt{\lambda_t} dW_t$ When calibrating the parameters I get ...
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35 views

Estimate Option Price Given X% Move N Days in the Future

I was wondering if someone could recommend a method to estimate the price of an option N days from now given an X% move in the underlying. I have fitted a volatility surface but where I am running ...
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47 views

Comparison of Implied Vol Models

My goal is to evaluate a collection of implied volatility models for accuracy supporting real time theoretical pricing of listed equity option. My current research approach is to define a set of ...
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13 views

Do smaller horizons better estimate volatility for longer horizons than the longer horizons?

Suppose you want an estimate of the 20 day return variance. You could grab historical lagging 20 day windows to build an estimate, or you could build 10 day lagging windows (twice as many data points) ...
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66 views

Easy question (?) - how to measure if volatility for two samples is significantly different?

For my bachelor thesis I'm doing a research where at one point I want to measure if volatility for a certain sample of stocks in period A is significantly different from i) the same sample of stocks ...
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52 views

Delta of an option in two cases

Let C be the prime of a call in fi=unction of the price in term F, Strike K, volatilité $\sigma$ and maturity t: $C(F,K,\sigma,t,r) $ We assume that we know $\delta$ $\delta=\frac{\partial}{\...
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21 views

How to appropriately measure volatility in assets with different execution dates?

Let's say I have two assets and I am hedging them with going short on two other assets. Let's say that asset 1 is expected to expire in one day and asset two is expected to expire in two days. Let's ...
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37 views

Could VVIX and HYspread combined make for a SPX trade signal?

assumption 1: if there is no excess liquidity, then prices of equities cannot rise assumption 2: if there is "sufficient" excess liquidity, then whether prices of equities rise, stay put, fall depends ...
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53 views

Impulse response function interpretation

I would need a quick help with Impulse response function interpretation which I have done after Vector autoregression model in stata. I need to understand how to interpret IRF graph or table values ...
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1answer
77 views

pricing with implied volatility surface

I am a newbee in Quantive finance. supposing I calibrate a smoothing implied volatility surface with cubic spline now. A minute later I want to price K=100,t=1 option, can I just find the point on ...
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71 views

CCC-Garch predict

So I'm trying to measure the VaR of 2 stock with a multivariate GARCH model, so im using the CCC model. I need to predict the standard-diviation and the mean but the ...
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37 views

Lambda in RiskMetrics for fixed income

What is the default lambda proposed in RiskMetrics for fixed income?
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39 views

Integrated Volatility in Diffusion Processes vs Volatility of Discrete Processes

In a Diffusion Process of the form $$dX_t = \mu(X_t)dt + \sigma(X_t)dW_t $$ the Integrated Volatility is defined as $$IV_t = \int_t^{t+1} \sigma^2(X_s)ds.$$ In this case, the Integrated Volatilty ...
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71 views

Interpreting and scaling of Realized Variance with sample data

I have some question about realized variance(RV) and I have some sample prices below to work with. You can run the R code below to build a vector of log returns. Three are 78 5-minute buckets in a ...
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51 views

Estimate volatility in forecast

I have a model with a rolling forecast. In each time step $t$, I predict the price for the next periods, e.g. $\hat{p}(t, t+1)$ and $\hat{p}(t, t+2)$. If I start in $t=0$ and arrive at $t=2$, I ...
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26 views

Return volatility or Price Volatility [duplicate]

Which is a better method to calculate volatility - Price variance or return variace or is it subjective to the use of volatility figure?
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82 views

Volume or Volatility?

I've recently been given a project which came with some documentation. In this documentation is a bullet point that reads: Liquidity Risk in Equity, Credit and Vol I'm unsure as to whether vol is ...
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2answers
169 views

Comparing Portfolio Volatility with Index Volatility seems a wrong method?

thanks for looking into this question. I am comparing an investment strategy against the S&P 500 for a financial article I'm writing. I compute volatility of the Portfolio in this way, as the ...
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99 views

I have volatility of a portfolio in year 1 and in year 2. How do I calculate the volatility over the total 2-year period?

thanks for looking into this question. See the picture below (better is right-mousebutton - open in new tab). I also have the price and return data of the Stocks if that's needed to calculate the ...
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116 views

Fixed volatility portfolio with max returns creates skewed results

I am trying to create a portfolio of only four components using the mean-variance optimization (MVO). I am setting up my problem such that I want to maximize the expected returns with a fixed vol ...
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39 views

Common point between IR and Vol option pricing models?

What is the common point between pricing models on options on Interest Rates and options on Volatility?
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476 views

Controling ex-post volatility by ex-ante limits

In the context of mutual funds the KID directive forces us to calculate 5 year ex-post volatility of a (market) fund (weekly returns). Thus each week we look back in the past and calculate volatility (...
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118 views

Stochastic Volatility for Stocks, FTSE

Can someone help me with calculating Stochastic Volatility (of stocks and options) using SAS or R or Matlab please? I am new to SAS and I am trying to use Heston model, White-Hull model or any other ...
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27 views

explanation for preference of volatilities in option premium quotes [duplicate]

could any one suggest an explanation for why premium in option markets (currency or otherwise) are quoted as volatilities rather than (premium/abs(spot price - settlement price)) or some other ...
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106 views

Quanto derivatives and FX risk management

Let us assume that we have a foreign asset with volatility $\sigma_{ASSET}$. Now, I know that when pricing this under the foreign measure, I need to do a drift adjustment, namely $\sigma_{ASSET NEW}^2 ...
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69 views

Approximating the IV of an underlying from Individual Options IV

Is it possible to get a calculation of IV from the volatility on components of the options chain? EG I have this data: ...
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1answer
77 views

Master thesis in Finance in search of topic concerning investor sentiment and financial crash

Is there any good idea that combines low volatility, risk aversion level of investors and prediction of financial crash ? Is there any literature?