# Questions tagged [variance]

Used for questions related to statistical measure "variance", i.e. a second central moment of a random variable. The variance is a risk measure.

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### CBOE Skew Index Intuition

I was recently reading (and very much struggling to understand) the CBOE white paper on their Skew Index (CBOE Link), I thought it might be useful as I'm trying to better understand volatility skews. ...
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### Residual Risk and Variance

I've solved part a, but am struggling with b and c. $x_m$ is the market portfolio vector, and I think $T$ should be a diagonal matrix. Any hints greatly appreciated!
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### Rolling sum of conditional variance

I have a model to compute the conditional expectation and variance for a return series, given various factor returns. Initially attempted to trade the deviations of actual return for the day from the ...
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### portfolio optimization with a loop

I am attempting to minimize the variance of a 3 stock portfolio using optimization within a loop. What I have done is calculated the stock returns and cov matrix from dates 1980-01-01 to 1989-12-31 ...
56 views

### GARCH(1,1) variance forecast in one-step or multi-step?

I would like to forecast the daily variance of a stock using GARCH(1,1) model while I have high frequency data of 5 minute returns. What is the difference between applying GARCH(1,1) in one-step ...
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### Overlapping Data

I have a daily time series data spanning over 22 years. I need to compute some meaningful yearly standard deviation statistics / generate probability distribution and estimate tail risk. 22 years ...
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### Total Variance of an asset in case of stochastic rates

Let's suppose the underlying S follows a BS dynamic with the drift being the short rate that follows a short dynamic model. the "local volatility" of the equity should be the implied volatility from ...
386 views

### VarSwap PnL formula

I came across this formula for the varswap PNL: let $r_i$ be the log return over $[t_i,t_{i+1}]$ and suppose we risk manage the VS at a fixed implied volatility sigma, the PnL of (the payoff) over ...
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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. ...
420 views

### Does delta adjusted exposure make sense for an equity variance swap?

The software vendor that I am using for the calculation of the market risk exposure claim that they cannot compute the delta adjusted of the equity variance swap positions since there is no specific ...
288 views

### Quantitative Strategy on Variance Swap (master thesis)

I am doing a master thesis on Variance Swap and my dear friend told me I could find some valuable help on the "Quantitative Finance Stack Exchange". I would like to apologise beforehand, if my ...