A measure of the variation in price over time. Also a measure of the risk of a financial instrument.
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127 views
How to estimate the following model?
Suppose I have the following model:
$$r_t=\sigma_t * \epsilon_t$$
where $r_t$ is the return at time t, $\sigma_t$ is the volatility, the model used to model this volatility is an exponentially ...
7
votes
0answers
235 views
What are the major characteristics of natural gas volatility and options?
Seasonality is a big deal in the natural gas markets. My understanding is that they are broadly divided into summer and winter, with seasonality in both price and the volatility.
What does this ...
5
votes
0answers
522 views
Volatility-Based Envelopes
I am following an article by Mohamed Elsaiid (MFTA) about Volatility-Based Envelopes - a quite new technical indicator he has introduced, that is being used by Bloomberg. My goal is to get a simple ...
4
votes
0answers
143 views
Asymmetric Volatility Modeling (Interpretation)
I am currently writing a paper on asymmetric volatility modeling of brent, gold, silver, wheat, soybean and corn from 1986-2012 and divided them into 4 sub-sample periods (i.e. 1986-1991, 1991-1997, ...
4
votes
0answers
89 views
Rolling window Kendall's tau against APARCH(1,1) correlation
Assume you want to forecast the correlation matrix of a stocks' basket (say 15 ~ 20 stocks from different sectors); assume you need to forecast at $T$ days because you will use the forecast ouput with ...
3
votes
0answers
106 views
Fitting a non linear AR + GARCH(1,1)-M model
I want to fit the following model to a time series:
$$
y_{t}=\alpha_{0}+\alpha_{1}y_{t-1}+\alpha_{2}y_{t-1}^{2}+\lambda h_{t}+\varepsilon_{t}
$$
$$
...
3
votes
0answers
89 views
Measuring unbiased estimator for variance with RMSE?
The root mean squared error (RMSE) is considered by some to be the best measure of how good a variance estimate is. You often see it quoted as:
$RMSE=\sqrt{\frac{1}{n}\sum_{i=1}^n(\hat{\sigma_i} - ...
3
votes
0answers
245 views
Real time stock volatility
Is there any need for real time weighted volatility on a tick by tick basis for equities?
If you had that access to that, what could you do with it?
3
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116 views
What is the relation between return volatility and return rank volatility, and how can I control the latter?
I have no experience in finance, but I've been playing around with a virtual portfolio.
I'm trying to control the "rank volatility" distribution - that is, the volatility of a stock's daily rank in ...
3
votes
0answers
164 views
What is the longest number of consecutive days that options implied volatility has stayed “extremely high” for any particular underlying?
Curious as to whether or not there is any sort of all time record. Any index, future, or stock will do. Volatility must be well above the average 1 year volatility for all periods.
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votes
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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 ...
2
votes
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
votes
0answers
150 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 ...
2
votes
0answers
112 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 ...
1
vote
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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vote
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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vote
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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vote
0answers
288 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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votes
0answers
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, ...
