Questions tagged [volatility]

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

Filter by
Sorted by
Tagged with
0
votes
2answers
86 views

Historic Volatility calculation does not fit to given figures

First, I have to say sorry - my question is very basic. I do not have a good understanding of math and statistics. I did a lot of research before posting here, but I could not come to a 100% ...
0
votes
0answers
68 views

Estimating volatility

Why is $$\frac{ \left(\frac{ \Delta S}{S}\right)^2} {dt}$$ an estimator of volatility squared (as claimed by my book)? As far as I understand it, we estimate volatitility squared as $$\frac{ Var( \...
0
votes
0answers
149 views

Caplet and Swaption Volatilities

Why is volatility always quoted in terms of caplet and swaption? Why not quoted in terms of other instruments?
0
votes
0answers
77 views

Approximating an SDE for Volatility Estimation

Consider the SDE $$ dT(t) = ds(t) + a(s(t) - T(t))dt + \sigma dW(t) $$ where $s(t)$ is a deterministic function that turns out to be the long-term mean (this SDE is used to model daily temperature, so ...
0
votes
2answers
2k views

Transforming log return volatility into standard return volatility

If I have a forecasted volatility of the log returns of say, 0.03, this is obviously transformed relative to the log I took of the returns. It strikes me that I should raise ...
0
votes
1answer
395 views

Impulse response function interpretation

I would need a quick help with Impulse response function interpretation which I have done after Vector autoregression model in stata. I need to understand how to interpret IRF graph or table values ...
0
votes
1answer
212 views

pricing with implied volatility surface

I am a newbee in Quantive finance. supposing I calibrate a smoothing implied volatility surface with cubic spline now. A minute later I want to price K=100,t=1 option, can I just find the point on ...
0
votes
1answer
657 views

CCC-Garch predict

So I'm trying to measure the VaR of 2 stock with a multivariate GARCH model, so im using the CCC model. I need to predict the standard-diviation and the mean but the ...
0
votes
1answer
129 views

Volume or Volatility?

I've recently been given a project which came with some documentation. In this documentation is a bullet point that reads: Liquidity Risk in Equity, Credit and Vol I'm unsure as to whether vol is ...
0
votes
2answers
435 views

Comparing Portfolio Volatility with Index Volatility seems a wrong method?

thanks for looking into this question. I am comparing an investment strategy against the S&P 500 for a financial article I'm writing. I compute volatility of the Portfolio in this way, as the ...
0
votes
1answer
140 views

I have volatility of a portfolio in year 1 and in year 2. How do I calculate the volatility over the total 2-year period?

thanks for looking into this question. See the picture below (better is right-mousebutton - open in new tab). I also have the price and return data of the Stocks if that's needed to calculate the ...
0
votes
1answer
46 views

Common point between IR and Vol option pricing models?

What is the common point between pricing models on options on Interest Rates and options on Volatility?
0
votes
0answers
137 views

Stochastic Volatility for Stocks, FTSE

Can someone help me with calculating Stochastic Volatility (of stocks and options) using SAS or R or Matlab please? I am new to SAS and I am trying to use Heston model, White-Hull model or any other ...
0
votes
1answer
171 views

Implied volatility in parametric VaR

I'm calculating 1-day parametric VaR estimates for a stock index under the simple assumption that the returns are normally distributed. My question is, what is your opinion of using a volatility index ...
-1
votes
2answers
276 views

Suggestions for a Master thesis in option pricing models

I am willing to do my Master Thesis about option pricing. Do you have any suggestions? I would like it to be something simple, like comparing methods, e.g. compare ARCH and GARCH approaches for ...
-1
votes
2answers
222 views

Positive PnL with long volatility strategy

Suppose I was interested in longing volatility. Suppose I bought a long straddle today which expires in 3 months. Suppose that volatility was very high in those 3 months, however, the stock expires at ...
-1
votes
1answer
114 views

Estimate Options Delta By Hand [duplicate]

Underlying = 100 K = 90 1 year Put at K is trading 5. What's the approximate delta of the put?
-1
votes
1answer
74 views

How to calculate number of round trips given volatility?

Suppose we know stock price volatility is normally distributed with mean = 0 and annual volatility say 20%. Let's assume markets never close and we can trade at 1 second intervals. Let's assume stock ...
-1
votes
1answer
124 views

Does the price of an asset need to be constant in order for its volatility to be zero? [closed]

What are the conditions for the volatility of an asset to be zero? In my opinion, the only condition is that the return on the asset needs to be constant. On the web, some people imply that the ...
-1
votes
1answer
600 views

Calculate Idiosyncratic Risk?

I have basic finance background but I am trying to calculate idiosyncratic risk as measure for firm risk in my CEO gender research. I have found the following on Alpha architect but I am unsure of ...
-1
votes
2answers
1k views

Quanto derivatives and FX risk management

Let us assume that we have a foreign asset with volatility $\sigma_{ASSET}$. Now, I know that when pricing this under the foreign measure, I need to do a drift adjustment, namely $\sigma_{ASSET NEW}^2 ...
-2
votes
2answers
5k views

Volatility of a multiple-asset portfolio [closed]

I have N assets with their individual volatilities $\sigma_{i,t}$. I construct a portfolio using the weights $w_{i,t}$ that I obtained in a matter that is irrelevant. Now I want to determine the ...
-3
votes
2answers
99 views

Approximating the IV of an underlying from Individual Options IV

Is it possible to get a calculation of IV from the volatility on components of the options chain? EG I have this data: ...
-3
votes
1answer
121 views

Master thesis in Finance in search of topic concerning investor sentiment and financial crash

Is there any good idea that combines low volatility, risk aversion level of investors and prediction of financial crash ? Is there any literature?