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Questions tagged [volatility]

175 questions
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Could not import module Yara

I am currently attempting to run Volatility3, but I have encountered an error which is caused by yara failing on import. The main issue is I am unable to import yara even on CMD by typing python then import yara, doing so would get an error like…
Remicaster
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Creating forecasts using a rolling window

I am trying to calculate realized volatility forecasts using a rolling window forecast. My aim is to use the first 500 observations to forecast the 501st observations, then shift the window forward one step using observations 2 to 501 to predict the…
Nikolaj Mejlholm
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import library from Github

I am new to Python and I am trying to import a library from Github, and the below one is the package i am trying to load on Jupyter: https://github.com/jasonstrimpel/volatility-trading I tried to do this yet with no luck. from setuptools import…
Bubbles
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Ewma Returns for a Time Series of returns in R

What is the best method for calculating the EWMA returns for every column of my time series? Above all columns we have the returns from Today - 260d (-1Year) until Today -1d. **The returns are calculated by the division of the close prices between…
Vinícius Felizatti
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ARCH modelling, DataScaleWarning: y is poorly scaled

I'm currently facing an issue with GARCH modelling in python. Came across a datascale issue, where y is poorly scaled. Would really appreciate if could get an explanation on the error and perhaps a fix to the issue. GARCH model still runs but with…
Anthony
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Calculating volatility manually vs built-in functions are not the same

Can someone help me to understand where I'm wrong? I don't know why I get different volatility of each column... This is an example of my code: from math import sqrt from numpy import around from numpy.random import uniform from pandas import…
Hazan
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Symbol _TCP_ENDPOINT not found

I've been reading "The art of memory forensics", on chapter 11 page 327 they added the output of Windbg dt(_TCP_ENDPOINT) The Art Of Memory Forensics - _TCP_ENDPOINT I have been trying to get the same result with Windbg but I keep getting the same…
Cyber_Noob
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Importing rugarch R library into python

I need to import into python the library rugarch of R for volatility forecast. This is just an example, which could be done entirely in python since it is univariate, however I have to apply later on a multivariate method for which I have not a…
Luigi87
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Is the implied volatility in QuantLib independent of the pricing engine?

This might be a stupid question as I just started looking into QuantLib. (I'm using the python API.) It seems that the implied volatility calculation does not require a pricing engine. If so, which pricing engine is used? I am interested in the…
spark
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3D plot with Trisurf : Add Colormap

I want to plot a 3D surface by using data from three different columns in a dataframe. I was able to do a scatter Plot and I added on it a color map. It works perfectly! enter image description here Now I am using trisurf with the same dataset. I…
Macair
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C# MultiThreading - List Locking a list from a thread while another thread is working on the list
I have 2 main threads to my program: Thread checkForNewItemsThread Adds new objects to a volatile List Thread workOnListThread Works on the List and creates another new Thread doWorkThread for each item in list that needs work. I…
Dillon Tucker
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EDITED (Remade Post): Finding the implied volatility of an american put option using the bisection theorem

I was given this assignment: "Implement the American Algo. and the bisection Algo. to find the implied volatility of an option with the following parameters, dt = T/N (delta t) R = 0.03 (continuously compounded) u= 1/d (up factor) N=4 S0 = 100…
Jonas
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How to automate the collecting of stock info via quantmod

While I can manually use quantmod to collect volatilities on a stock-by-stock basis, such as: library(quantmod) library(TTR) getSymbols("SPY",from="2010-01-02", to="2020-01-02") vol=volatility(SPY,n=252,N=252,calc="close"), This requires me to…
mellose
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Draw 3D Implied Volatility Graph

I am trying to draw a 3d Implied volatility Graph For BAC company. I did the codes to draw implied volatility vs Strike Prices (below). The plot code below will draw the graph for Implied Volatility vs Strike prices on just ONE date…
Chen JG Thomas
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Windows CMD History from Memory Dump w/ Volatility

I'm trying to analyze a Windows 7 memory dump with Volatility. The goal is to see the CMD commands which were run before the dump was taken. I ran the following command(output below): volatility.exe --profile=Win7SP1x64_23418 -f…
Brandon Austin
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