# Questions tagged [volatility]

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

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134 views

### What is relation between option adjusted duration and volatility

I am calculating oasd using implied vol of 15%. What is relation between OASD vs Implied volatility in theory for various maturities. I am running using MMD curve. If anyone recommend any good ...
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### ATM-implied volatility

I am trying to understand the methodology that researchers used to compute ATM-implied volatility with real data. The problem is giving the discrete sets strike prices of one particular option with ...
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### What are the current gold standards for volatility prediction error?

I'm working on volatility forecasting models for equities and currencies. I am using daily data and am interested in producing forecasts for the next n days. To ...
176 views

### How would you arbitrage this?

Assume it to be true that $dS = S\mu dt + \sigma(t)S dW$ where $\sigma$(t) is known. Consider a call option with expiry $T$, currently $t = 0$. For all $t \in [0,T]$, $\sigma(t) < \sigma_{impv}$ ...
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### IV surface quoted Skew/Curtosis/Putwing/CallWing

I came across a volatility surface quoted in unknown format to me. I have ATM Vol Skew Kurtosis PutWing and CallWing each for particular tenor. Any idea of what these represent/...
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### Possible to convert between continuous & discrete volatility without underlying data?

Is there a way to convert between continuous and discrete volatility without the actual return data? For example, calculating on 12 monthly returns: ...
212 views

### Is there a way I could find a matlab or R code to estimate a regime switching stochastic volatility model (discrete)?

Sorry to bother you with this request but, does anyone know where I could find a matlab or R code to estimate a regime switching stochastic volatility model (discrete)? Thank you very much.
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### Volatility of the adjusted prices mean reversion

When computing the volatility on the adjusted stocks' prices, would the resulting volatility be mean-reverting? I believe that the volatility of the log returns is mean reverting, but I am not certain ...
1k views

### Calculating weekly portfolio returns for portfolios sorted by volatility

I am having some issues with finding the right code in STATA for sorting the data into portfolios by historical volatility (standard deviation) of returns and then calculating portfolio returns and ...
206 views

### Liquidity horizons of risk factors categories

I'm reading the consultative document of the BCBS on the Fundamental Review of the Trading Book: http://www.bis.org/publ/bcbs265.pdf Table 2 on page 16 shows the liquidity horizons for 5 broad risk ...
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### How to choose a GARCH model which delivers iid standardized residuals?

For my thesis I first need to examine nine financial time series and fit a conditional volatility model such that the obtained standardized residuals ($z_t = \epsilon_t / \sigma_t$) are approximately ...
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### Are there noticeable jumps in index options price due to systematic hedging of structured products close to big expiry dates?

I am looking at investigating factors that will cause jumps in index options prices close to big expiries in the name. I imagine systematic rebalancing of structured products will have a large impact ...
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### Why my delta position is increasing with increase in spot?

I am trying to take position in future as per the delta position of short put. My strike is 13794 for short put option, spot 10305.3 and volatility is 20.153 then I am getting 5890 position to buy and ...
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### Value Option with Forward Volatilities

That is probably a rather simple question but I got confused and would be very thankful for help. Imagine we are in 2015 and have an option that expires in either 2016, 2017, 2018, 2019, 2020 or 2021. ...
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### Historical VIX term structure data

I see that there is a CBOE page for collecting individual moments of term structure data, however, I'm wondering if anyone knows how to access historical data in bulk. Here's the CBOE page: http://...
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### annualised returns and volatility for 3 month data

I have a portofolio with 30 indexes and I want to calculate the annulised returns and volatility because I want to compare it with another portofolio with different number of indexes (but same time ...
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### Ratios or combinations of risk measures

In finance, alternative risk measures such as value-at-risk (VaR) and GARCH are introduced as replacements to standard deviation volatility. Is there any application or value where several risk ...
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### How to obtain one-step ahead forecast in Python based on GARCH?

I am trying to produce one-step ahead forecast using GARCH in Python using a fixed windows method. I ultimately want to put the code below in a for loop, but this code snippet does not perform as I ...
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### GARCH(1,1) forecast plot in R with training data

I've fit a GARCH(1,1) model in R and would like to create a plot similar to the one in this question: Is this the correct way to forecast stock price volatility using GARCH Could someone direct me to ...
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### Where can I find a Python module for Stock volatility estimators using Yang Zhang method?

Does anyone know of a Python library that includes the calculation of historical stock volatility using the Yang Zhang estimator? I have tried and failed to find one but would expect this to have been ...