volatility

  1. Measure how different forecasted volatility is from realized volatility
  2. Understanding how market making helps investors

  3. Leveraged Permanent Portfolio Using ITM Call Options

  4. talib.ATR or other ATR calculation

  5. What's volatility timing?

  6. volatility adjustment on momentum

  7. Use of Historical Volatility in Black 76 Model
  8. The sign bias test isn't significant but still use EGARCH

  9. Volatility Forecasting of VIX

  10. PRIIPs category 2 stress scenario methodology

  11. volatility term structure calibration

  12. Equity Options - "How do I build a forward simulation model with regards to shocks in spot pricing and IV?"
  13. Wrong pricing of Asian Option
  14. Is variation in price-dividend ratios that is attributable to excess returns due to variation in returns or variation in risk free rates?

  15. Correctly applying GARCH in Python

  16. Instantaneous Volatility Estimator

  17. Volatility of stocks small cap vs large cap
  18. How to generate variance impulse response function as in Hafner and Herwantz (2006)?
  19. The Heston Solution For European Option - Jim Gatheral

  20. Modelling option price change in N days
  21. relation between asset's and equity volatilities - merton model

  22. VaR of future foreign currency income stream

  23. Why are some Yang Zhang constant k different from the original paper?
  24. XIV Positive Roll Yield

  25. How to derive this approximation of the risk-neutral expectation of the variance?

  26. Monte Carlo, convexity and Risk-Neutral ZCB Pricing
  27. rugarch Sigma Band

  28. Relationship between Beta and Standard Deviation
  29. Vol structure of forward rate under no-arbitrage rate model
  30. How to estimate $\sigma$ and $r$ in binomial pricing model?
  31. Looking for material on volatility forecasting with a focus on market/news events
  32. Realized volatility vs Fundamental volatility

  33. Can a VaR equivalent Volatility (VEV) be negative?
  34. How to calculate the implied volatility using the binomial options pricing model

  35. What is a good algorithm to predict volatility in metals commodity markets?
  36. Regime-Switching Model for detecting market shifts
  37. Positive PnL with long volatility strategy

  38. inverse of stock price

  39. GJR-GARCH Model In R

  40. Daily Return to Approximate Annualized Realized Volatility 16 or 20?
  41. Build Implied Volatility Smile

  42. Time frame for implied vs realized vol
  43. What are the major characteristics of natural gas volatility and options?

  44. BEKK - GARCH model in Stata

  45. Why is the volatility smile so important

  46. How to extend Realized Volatilty to multiple periods
  47. How is the formula for the VEV (VaR-equivalent volatility) in the PRIIP document derived?
  48. How does volatility affect price arbitrage?
  49. Paradox in option expiry as volatility goes to infinity

  50. What is 'off term' volatility and 'term' volatility?
  51. Unconditional variance of an E-GARCH model
  52. Volatility taxonomy
  53. Probability of exercise in the Black-Scholes Model

  54. I am trying to fit an GARCH(p,q) model to FX volatility. Should I be interested in the t-value of GARCH parameters?
  55. GARCH Option Pricing Model (Duan 1995)

  56. Delta of ATM Call Option when volatility is very high
  57. How do I calculate annual implied volatility from an intraday thinkorswim chart?

  58. What is the longest number of consecutive days that options implied volatility has stayed "extremely high" for any particular underlying?
  59. What is the formula for Intraday and overnight volatility?

  60. Estimating the historical drift and volatility

  61. Common Quanto adjustment

  62. Replicating Log Contract - Errors Introduced by Jumps

  63. Are "stylized facts" based on reliable evidence?

  64. Explaining mathematically why to use the ATM vol

  65. Intuition Behind Scaling Factor in Variance Swaps

  66. Why is the ATM vol kind of an average volatility

  67. Estimate conditional SD with rugarch package for different series than what used for model estimation

  68. Black Scholes Implied Volatility -> Put call parity
  69. ATM-implied volatility
  70. What does implied volatility means for different call and put strike prices?

  71. What are the significant implications of the long-run average variance rate and why Engle won the Nobel Prize for ARCH model development?
  72. Predict probability of returns: How does changing volatility affect the return pdf?

  73. Backtesting VaR model violation independence

  74. Why implicit volatility has the shape of a "smile"?

  75. Weekly/Monthly volatility of interest rates?
  76. Volatility considerations with interest rate derivatives

  77. What is relation between option adjusted duration and volatility

  78. MATLAB exercise on an European call option with time-varying volatility
  79. How to compute the realised intraday volatility?

  80. Continuous delta hedge formula
  81. Forecasting monthly realized volatility using ugarchroll
  82. How can I compare 30 day implied volatility forecasts with GARCH forecasts?

  83. modeling of volatility of stock returns using garch model

  84. Approximations for Quanto Options pricing
  85. 1-year Var calculated from 1 year volatility
  86. What makes a realized vol estimate "tradeable"?

  87. Volatility of a multiple-asset portfolio

  88. Why is the VIX futures market usually in a state of contango?

  89. Volatility vs. Moving Average Distance

  90. How can I use a more efficient volatility estimator to improve the co-variance matrix?
  91. How do I estimate the volatiliy of my portfolio with an estimator that requires High, Low, Open, etc

  92. Why do regulators assume a risk-neutral world?

  93. Why is there greater demand for OTM and ITM options than for ATM options?
  94. GARCH mean and volatility spillover R commands needed
  95. How is VIX different from SPY/SPX IV?
  96. Distribution of realized volatility for stock prices from a GBM

  97. Monte Carlo volatily

  98. Is an autocorrelation of the abs returns just a consequence of the volatility burst?
  99. Why is $dS/S$ an estimate of realized volatility?

  100. Black Variance Surface