# Questions tagged [volatility]

A measure of the variation in price over time. Also a measure of the risk of a financial instrument.

855 questions
Filter by
Sorted by
Tagged with
34 views

### Vol surface fitting with 5 degrees of freedom

For an options market making operation I need to be able to build a volatility surface, based on only 5 degrees of freedom, like e.g.: MaxPut, MaxCall, Skew, Curve and At The Money Vol. Is there an ...
17 views

### Extract the short-run and long-run volatility of any time series with component sGarch (rugarch)

I try to estimate a component sGarch model with the rugarch package in R. My goal is to extract the short-run and long-run volatility components of any time series. I am not interested in the ...
91 views

### Why the volatility of log-returns and not the volatility of the absolute level of the underlying is used in the Black-Scholes model?

If I want to price an option with the B-S model, why do I have to use the standard deviation of the log-returns of the underlying for the sigma parameter and not just the standard deviation of the ...
870 views

### Negative high frequency intraday volatility - Zhou estimator

To estimate high frequency tick data stock intraday volatility, I have read Robert Almgren's notes7.pdf http://www.cims.nyu.edu/~almgren/timeseries/notes7.pdf where he talks about the bias free ...
139 views

### In-sample volatility measurement

I would like to know what is the most reasonable way to measure volatility in a sample of past observations. Aside from standard deviation, are more complex models like GARCH used for (historical) ...
142 views

### 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 ...
62 views

### portfolio volatility over time

When estimating portfolio vol. with: $\sigma = \sqrt{w^T \cdot cov \cdot w}$ How does the sample length of returns affect $\sigma$? Is it possible to exponentially weight something to give more ...
73 views

### Historical volatility calculation to price options with the Black-Scholes formula

I'm looking for a reference algorithm for calculating historical volatility to price options. I know there are several volatility calculation models that use the time series of the underlying's ...
63 views

### Volatility Swap Variance swap [closed]

Why do two different products trades as vol swap and var swap. Are these products not inter-convertible? I know Var swap has convexity and vol swap does not have but i don not understand how it helps ...
189 views

### Are “stylized facts” based on reliable evidence?

A highly cited article "Empirical properties of asset returns: stylized facts and statistical issues" by R. Cont use the Figure 8. below to illustrate the well-known phenomenon of volatility ...
75 views

### GARCH Model Estimation with Standard Deviation

I want to examine exchange rate volatility on Stock Returns. Please, if I Generate Exchange rate volatility (ER_vol)using standard deviations approach, can I include the (ER_vol) as a regressor in the ...
280 views

### Why are some currency pairs more volatile than others?

Why for example GBP/JPY is twice volatile as USD/JPY ? ... and many more cases involving other major forex pairs here: full list. thanks in advance!
36 views

### How to find the volatility indices corresponding to equity indices?

I have a list of equity indices that I got through Eikon API (with Python). I successfully got their time series but at this point I would need the corresponding implied volatility, which is not ...
179 views

### Question on Realized Vol vs Implied Vol

I have heard the following argument- barring transaction fees, if my estimation of future realized vol is 30% and 1-month ATM implied vol is 20%, then I could potentially buy a 1-month ATM call/put ...
96 views

### To use daily volatility or annual volatility

From Joshi's Quant Interviews books: The statistics department from our tell you that the stock price has followed a mean reversion process for the last 10 years, with annual volatility 10% and ...
753 views

### Volatility swap hedge

What are the hedging methods for volatility swap (rather than variance swap)? What are the possibilities of setting up a static, semi-static or dynamic hedging? I am aware of but have not yet read ...
46 views

### Robust Sharpe ratio

The denominator of the Sharpe ratio is sample portfolio volatility, $\sigma_p$, which is the square root of portfolio variance based on the quadratic squared loss, L2. Alternatives for the denominator ...
66 views

### Confidence Intervals for ARMA+GARCH forecasts

I have fitted an ARMA(1,1)+GARCH(1,1) model to my logreturns series. When it comes to my standarized error's distribution however, I have opted for a Skewed Generalized Error Distribution, because of ...
229 views

### Rough Volatility Prediction - Gatheral, Jaisson, Rosenbaum Paper

I just read through the paper "Volatility Is Rough" by Gatheral, Jaisson and Rosenbaum. There is a website (link: http://tpq.io/p/rough_volatility_with_python.html) that details the simulations they ...
220 views

### target market correlation for long / short equity portfolio

Given a long / short equity portfolio, I want to have some net long market exposure. My portfolio volatility is fixed to a target, so I don't think it makes sense to target market beta. I think I ...
2k views

### How to interpret Realized Volatility and TSRV using R

I am looking at some high frequency data and I would like to know how to interpret and compare Realized volatility (RV) and Two Scale Realized Volatility (TSRV). References below. Given X is the log ...
169 views

### VXX Put pricing

Last week at Friday's close, the Dec 14 37.5 Put options were selling for \$.68 with VXX at \$40.29. This week at Friday's close, the Dec 21 37.5 Put options were selling for \$.38 with VXX at \$40.50....