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Questions tagged [volatility]

175 questions
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Normal Distribution in Stochastic Calculus, MATLAB: how to find probability?

I am currently revising for my computational finance exam in a computer science course and got stuck on this question: Let S be the price of a share with the yearly drift rate μ = 0.25 and the yearly volatility σ = 0.5. Suppose that the share is…
Tai
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How to Calculate the Monthly Volatility in Excel VBA Under Column Time Series

'H' Column is the year data column, 'I' Column is the month data column, 'D' Column is the 10-year bond yield we want to calculate the monthly volatility.This is another improved code for this question, please help me. The return is still #NAME.…
Kehong Lu
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Optim() taking too long when trying to maximize GARCH(1,1)

I have been trying to build my own GARCH(1,1) model. However the solvers I have used so far have either failed to return the optimized parameters or taking way too long to optimize (maybe not converging?). So far I have tried optim() (with…
Sheikh Sadik
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R: Calculating IV using Black-Scholes and bisection method, loop refusing to work

I have my Black-Scholes function and my bisection model for call options with data from a CSV. It appears to be getting stuck in the inner loop because it stays above the tolerance. My Black-Scholes does calculate accurately and I am using the…
Probability1
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GARCH estimation using maximum likelihood

I'm trying to estimate a GARCH (1,1) model using maximum likelihood with simulated data. This is what I got: library(fGarch) set.seed(1) garch11<-garchSpec(model = list()) x<-garchSim(garch11, n = 1000) y <- t(x) r <- y[1, ] ### Calculate…
B.Mae
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Realized GARCH - specify “realizedVol” in the model fit

I want to estimate Realized GARCH (1,1) model. In my dataset I have the following time series: ret <- replicate(1, rnorm(100)) RV <- replicate(1, rnorm(100)) date <- c(1:100) I do the following: install.packages("rugarch") library(rugarch) attspec…
glarys
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Locate stack/heap variables in memory

I am currently trying to hot patch programs (update code and data in the program memory, according to a released patch). Assume that we can stop a running program, and do the patch. If the patch changes some data initialization or assignment values,…
WindChaser
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Faster Method Of Calculating Portfolio Volatility

I am writing a numba function to calculate a portfolio's volatility: Some functions that I am using to do this are here: import numba as nb import numpy as np def portfolio_s2( cv, weights ): """ Calculate the variance of a portfolio """ …
Ginger
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How does a C++ I/O stream mask the underlying computer system's I/O volatility?

The question is in the title. I did surf the web for some answers to this, but nothing really answered it. I got definitions for I/O stream and definitions for volatility, but never any links between the two. Thanks in advance!
iEclipse
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Matlab Black Scholes formula how to get volatility from B&S price

I'm quite beginning with matlab and have a question maybe simple ? i got Black&Scholes formula to get a call option price with the following input parameters : S = stock price, K = strike , r = rate, T = time to expiration , sigma = volatility Call…
Aloys Fortier
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GARCH forecast expanding window: rollapplyr() and apply.fromstart()

My intention is to generate a forecast using a GARCH(1,1) using data from an expanding window. Everyday a new return enters the dataset and I will redo the GARCH fit and forecast. The function myFit does this but now I need to pass as argument a…
opt
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Garch prediction on expanding window in R with ugarchfit

I have daily data for S&P500 and store the close-to-close return in my_data$Return. My goal is to refit a GARCH(1,1) each day in the period (so starting from the startDate which is 01/01/2004) and then calculate a 30 days forecast. In other words,…
opt
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is ??\c:\windows path legitimate

I am going to check loading and memory path of process to find malicious processes. for example if csrss.exe is executed from other path than Windows\System32 would be considered malicious. But the result of Volatility for common process such as…
user2092506
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How to use volatility?

I am trying to use the volatility framework software to detect segmentation errors. I am using the command: python vol.py -f /Home/mycode/hex.c I get the error code not found. Please help.
Paku
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Volatility Error - The requested file doesn't exist

I am running the program Volatility on a Kali Linux machine. However, whenever I try the command vol -f I get the error ERROR: volatility.plugins.fileparam: The requested file doesn't exist I tried downloading the…
danielmhanover
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