Questions tagged [volatility]
175 questions
3
votes
1 answer
Error is fsolve in R when trying to fill a matrix with values; looking for explanation and/or solution
Solution Found
I am trying to plot a volatility surface using "persp" in R. To do so I need to fill a matrix, z, with implied volatilities.
I have a data frame of the strike prices, time and market prices. Data only contains call options.
AAPL…
R. Lad
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3
votes
1 answer
In Rx (or RxJava/RxScala), how to make an auto-resetting stateful latch map/filter for measuring in-stream elapsed time to touch a barrier?
Apologies if the question is poorly phrased, I'll do my best.
If I have a sequence of values with times as an Observable[(U,T)] where U is a value and T is a time-like type (or anything difference-able I suppose), how could I write an operator…
experquisite
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3
votes
1 answer
java threads don't see shared boolean changes
Here the code
class Aux implements Runnable {
private Boolean isOn = false;
private String statusMessage;
private final Object lock;
public Aux(String message, Object lock) {
this.lock = lock;
this.statusMessage =…
andymur
- 147
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- 9
2
votes
0 answers
GARCH model analysis using python
I have a AR(3)-GJR-GARCH(2,2,2) model. How can I test the presence of ‘leverage effects’ ((i.e. asymmetric responses of the condi- tional variance to the positive and negative shocks)) with 5% significance level?
Below is my code for…
Rijia
- 21
- 1
2
votes
2 answers
OSError: /usr/lib/libyara.so: cannot open shared object file: No such file or directory
I have some issue trying to run Volatility 3 Framework.
git clone https://github.com/volatilityfoundation/volatility3.git
cd volatility3/
python3 vol.py ../ramdumps/1289.raw windows.pslist.PsList
I got this error traceback:
Volatility 3 Framework…
Mike Delta
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2
votes
1 answer
Forecasting Volatility by EGARCH(1,1) using `arch` Package
Purpose
I want to predict daily volatility by EGARCH(1,1) model using arch package.
Interval of Prediction: 01-04-2015 to 12-06-2018 (mm-dd-yyyy format)
hence i should grab data (for example) from 2013 till 2015 to fit EGARCH(1,1) model on it, and…
Shayan
- 5,165
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2
votes
0 answers
Volatillity missing MODULE LICENSE()
I'm trying to make a profile in Volatility 2. I tried on Debian, Kali and Ubuntu 120.04 and Ubuntu 18 (gcc 7.5.0). I tried to update the headers, export pathes etc.. but still I have the same error . I tried also to dowload a profile from github but…
volfy_eye
- 21
- 1
2
votes
3 answers
Stocks - Calculating Volatility of a Time Series
I have this simple dataset of a stock price, where Col1 is for Dates, Col2 is for Returns (Close Price D / Close Price D-1, the same as the pct_change in Python) and Col3 for the Ewma Volatility. I'm working with projections and were ploting the…
Vinícius Felizatti
- 61
- 10
2
votes
0 answers
How to interpolate implied swaption volatilities between maturities for SABR?
I want to interpolate the swaption volatility surface (fixed tenor) in the maturity dimension. I have volatility smiles at times T1 and T2, and would like to get the smile at time T with T1
whu
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2
votes
1 answer
how to add the 95% interval in a time series forecast plot
I have the following code:
volatility = pd.DataFrame({
'actual': df1['Annualised vol21'].values,
'model': np.append(fitted, forecast),
})
y_train = volatility['actual'][:-forecast_horizon]
y_fit =…
Luigi87
- 265
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2
votes
1 answer
Calculate Realized Volatility in R
I am attempting to calculate the realized volatility of the members of the S&P 500 over a specific interval. I am having trouble looping through the index and storing the values.
The process should be to calculate the volatility of each name and…
Patriots_25
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2
votes
0 answers
Rolling forecast using GARCH model
I am attempting to perform a rolling forecast of the volatility of a given stock 30 days into the future (i.e. forecast time t+1, then use this forecast when forecasting t+2, and so on...)
I am doing so using R's rugarch package, which I have…
KOB
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2
votes
0 answers
Arm Support for Volatility
I have some ARM memory dumps which I need to analyze and I wanted to use volatility.
After looking through the code, it seems that ARM is not supported yet.
I am currently thinking about implementing ARM support for volatility.…
itsec19932010
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2
votes
1 answer
Initial value in "vamin" not finite
I am trying to fit a multiplicative garch model, following the instructions in http://www.unstarched.net/2013/03/20/high-frequency-garch-the-multiplicative-component-garch-mcsgarch-model/. Though I am using 15 minutes interval for one month. When I…
Deea
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2
votes
0 answers
Range-based EGARCH
I have a question regrading EGARCH models. I am partially basing my master research on the methodology followed by Brandt & Jones (2012).
you can find it here:
https://faculty.fuqua.duke.edu/~mbrandt/papers/published/regarch.pdf
My problem is that…
ttt
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