# Questions tagged [variance]

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### Uncovering patterns in price timeseries using linear regression

I have some minute-bar data which my professor suggested I resample to 5 minute bars and then separate it into timeseries per bar period. For example, I get one time series for 12:00, another one for ...
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### Options on realized volatility / variance

If I'd like to price options on variance/volatility in the Heston model. Is MC simulation and/or finite difference the only way to do it? Or is there an analytical expression for the probability ...
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### Terminal Variance in the Heston Model

I am trying to understand the basics of financial models. Random Walk as a model for asset prices. We use gaussian random numbers to generate a Gaussian Random walk. The variance of the terminal ...
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### How can I compute a realized variance for raw instead of log returns?

Whenever I read about calculating realized variance, people are using log returns. However, I was asking myself whether it is possible to calculate realized variance also for simple, raw returns. ...
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### Criticise GARCH relative to Realized Volatility

I would like to have your opinion about a simple question. While GARCH would be useful to calculate the conditional volatility, and the RV being in some sense the "historical" volatility, what would ...
I am trying to find a method which allows me to estimate $Var_{\mathbb{Q}}\left(\frac{S_{t_{i+1}}}{S_{t_i}}\right)$ where $S$ denotes the price process of an underlying stock (which has to be assumed ...
Let $(v_t)$ be a discrete time series of variance obeying a mean-reverting variance process $v_t$, which is actually the discrete version of the Heston model in finance. \begin{align} x_t &= \sqrt{...