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Computing the average deviation range in a mean reverting series

volatility time-series statistics mean-reversion

asked 2 days ago F. Yan 1

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73

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Annualization of discrete returns

volatility log-returns annualized

modified Oct 20 at 16:06 CommunityBot 1

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1

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6k

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Understanding Yang-Zhang Volatility Estimator

volatility programming

modified Oct 17 at 12:57 DonRHall 1

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39

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how should i interpret the gjr-garch output where the gamma coefficient comes positives but insignificant?

volatility garch

asked Oct 17 at 6:19 Younis 11

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70

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Eurodollar futures volatility

volatility implied-volatility portfolio-management futures eurodollars

answered Oct 16 at 9:46 Steve Becker 31

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33

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Calculating DV01 of a swaption

volatility swaption

asked Oct 15 at 22:05 Wendy 1

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23

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Trailing stop (long-only) based on annualized volatilty

volatility returns stop-loss

modified Oct 15 at 1:11 user0123456789 143

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57

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returns, standard deviation and mean absolute deviation

volatility returns standard-deviation

modified Oct 8 at 14:36 Robbe Van Tillo 11

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231

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In-sample volatility measurement

volatility garch standard-deviation

modified Oct 7 at 3:01 CommunityBot 1

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260

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Fitting a volatility smile with pySABR -- Python implementation of SABR model

volatility programming volatility-smile sabr

modified Oct 5 at 19:31 Pleb 2,504

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Where to find retail trading volume data?

volatility data correlation market

asked Oct 5 at 15:18 tallsamurai 11

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73

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is implied volatility derived from the option bid quote or the option ask quote?

options volatility implied-volatility market-data

answered Oct 1 at 15:28 Si Chen 376

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133

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Rogers Satchell Volatility

volatility programming implied-volatility stochastic-volatility algorithmic-trading

modified Sep 29 at 22:27 Pleb 2,504

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62

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Why calibrate vol based on consensus?

volatility implied-volatility calibration

asked Sep 29 at 8:24 V1ct0r 6l0r1eux 1

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