All Questions
Tagged with forecasting volatility
51
questions
0
votes
0
answers
43
views
Cross-day realized volatility
I've been looking for papers on volatility forecast, and most of them focus either on daily volatility (often using daily returns to access predictions for monthly volatility). Others focus on ...
- 101
0
votes
0
answers
81
views
GARCH-MIDAS model for forecasting volatility?
I had a problem when I just estimated the GARCH-MIDAS model on Eviews: I found only the MIDAS model. Can I estimate the GARCH(1,1) model and MIDAS separately, and then multiply them to have GARCH-...
- 1
0
votes
0
answers
83
views
What are state-of-the-art methods for forecasting of rates and volatilities?
Usually forecasting is based on a model for the evolution of a value $x(t)$ based on some parameters ${\beta}$ that can then be estimated using various statistical means.
For yield curves and ...
- 141
1
vote
1
answer
333
views
Is a volatility forecast essentially a delta forecast in vanilla European options?
As the title suggests.
I want to understand why delta hedging is done. I'd like to illustrate with an example:
Say you have 7 dte option chain with 15.8% IV ATM straddle on an underlying of spot 100.
...
- 11
0
votes
0
answers
222
views
Is my time horizon for GARCH(1,1)/ARCH(1)/EGARCH(1,1) reasonable?
I am trying to learn about volatility forecasting using three models: ARCH(1), GARCH(1, 1) and EGARCH(1, 1) using python. I wanted to know if my general procedure is correct, and specifically if my ...
- 31
0
votes
2
answers
247
views
Appropriate way to combine alternative volatility estimates
I have a number of different annualized realized volatility estimates (for the same point in time) that I'd like to combine. Is a simple average over these appropriate? Or should I do this in the ...
- 135
2
votes
2
answers
473
views
Assessing the GARCH model out-of-time
I have fitted two competing GARCH models, one GARCH(1,2) model and another EGARCH(1,1,1) both with t-distributed errors, on the ...
- 281
1
vote
1
answer
923
views
Multistep ahead forecasts in GARCH equations
If my one step ahead forecasts from GARCH(1,1)-X are:
\begin{equation}
\hat{h}_{t+1} = \hat{\alpha}_0 + \hat{\alpha}_1 \hat{u}^2_t + \hat{\beta}_1 \hat{h}_t + \hat{\psi} X_t
\end{equation}
Where ...
- 43
1
vote
0
answers
861
views
How to forecast volatility using gamma exposure index?
Brainstorming this afternoon.
GEX is the gamma exposure index (https://squeezemetrics.com/monitor/static/guide.pdf). It's the sum of gamma exposure for call and put.
Using IV, strike and BDS you can ...
1
vote
2
answers
589
views
Volatility forecast for 5-minute frequency data
I have high frequency data for financial stocks (5-minute periodicity) and I want to forecast volatility.
I'm familiarized with the usual ARCH/GARCH models and their variants for daily data but after ...
- 11
1
vote
0
answers
124
views
On a relative level how do you value single name volatility? [closed]
Let's say I am looking to price AAPL 30 day volatility on a relative level.
My first thought would be to take SPY vols and multiply it by AAPL's beta.
But this leaves out the volatility caused by the ...
- 181
1
vote
0
answers
79
views
Building multivariate model to predict trading volumes
I am building a multivariate statistical model to forecast the trading volume of the S&P 500 stock based on its previous values and on other covariates. Being new to finance, I am having problems ...
- 11
2
votes
0
answers
456
views
Are there any public implementations of realized kernels? (preferably in Python)
looking to implement a realized kernel model to forecast realized variance of around ~140 equities and indices in Python given order book data.
I have read "Realised Kernels in Practice: Trades ...
- 73
0
votes
0
answers
46
views
Perfect in-sample size for out-sampling volatility prediction (EGARCH(1,1)
I have a few questions regarding in-sample size for volatility forecasting in EGARCH(1,1). I'm currently sitting with a dataset consisting of 1387 trading days of the S&P-500 index. I would like ...
3
votes
1
answer
393
views
Is there a HAR that deals with the leverage effect?
The EGARCH is a special GARCH model that treats the leverage effect of the volatility. The HARV does not make a distinction between negative and positive returns. Is there a special HARV that deals ...
- 2,806