Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It only takes a minute to sign up.

Sign up to join this community

Anybody can ask a question

Anybody can answer

The best answers are voted up and rise to the top

Explore our Questions

Ask Question

more tags

Active 1 Bountied Hot Week Month

1

vote

1

answer

82

views

Looking for a good introduction to modelling ARCH-type models

volatility garch reference-request econometrics arch

modified yesterday Community♦ 1

2

votes

2

answers

169

views

Confidence Intervals for ARMA+GARCH forecasts

volatility programming garch forecasting arma

modified 2 days ago Richard Hardy 1,519

3

votes

1

answer

210

views

Market price versus theoretical price of varswaps

volatility variance-swap

modified 2 days ago Frido Rolloos 3,155

0

votes

0

answers

24

views

Realized volatility calculations from real dataset

volatility implied-volatility data market-data

asked May 9 at 11:57 Sebastian Strauss Hansen 47

12

votes

9

answers

2k

views

Why is asset volatility easier to estimate than the asset mean if it contains the mean?

volatility estimation mean

modified May 8 at 4:06 Thiago 11

2

votes

0

answers

68

views

Skewness and Kurtosis in GARCH vs Heston

volatility garch heston skewness kurtosis

modified May 5 at 23:26 Kevin 11.6k

0

votes

1

answer

254

views

VXX Put pricing

options volatility implied-volatility pricing vix

modified May 5 at 13:08 Community♦ 1

0

votes

1

answer

64

views

VaR using normal vol vS lognormal

volatility var lognormal normal

modified May 5 at 12:05 Community♦ 1

0

votes

1

answer

120

views

The most appropriate volatility model

options volatility trading volatility-smile

answered May 5 at 8:45 AKdemy 1,155

7

votes

2

answers

2k

views

Constructing an approximation of the S&P 500 volatility smile with publicly available data

options volatility implied-volatility volatility-smile

modified May 5 at 8:45 Richard Hardy 1,519

2

votes

2

answers

604

views

Electricity volatility smile

volatility volatility-smile

modified May 5 at 8:45 Richard Hardy 1,519

7

votes

4

answers

9k

views

Intuitive Explanation for Volatility Smile for Equity

volatility volatility-smile

modified May 5 at 8:44 Richard Hardy 1,519

3

votes

1

answer

411

views

Volatility considerations with interest rate derivatives

volatility fixed-income interest-rates volatility-smile short-rate

modified May 5 at 8:44 Richard Hardy 1,519

1

vote

0

answers

77

views

Vol surface fitting with 5 degrees of freedom

options volatility implied-volatility volatility-smile

modified May 5 at 8:43 Richard Hardy 1,519

Browse more Questions

Quantitative Finance Stack Exchange works best with JavaScript enabled