Stack Overflow
Stack Overflow

Questions tagged [volatility]

175 questions
1
vote
1 answer

Calculating volatility of a spread (with positive and negative values) in R

I am trying to using the TTR package and volatility() function in R to calculate the rolling 30 day volatility of a spread between two underlyings. Here is a stripped version of my code so far (already pulled/cleaned data, date matched,…
Evan Scott
  • 11
  • 1
  • 2
1
vote
4 answers

How can I measure volatility?

I am trying to determine the volatility of a rank. More specifically, the rank can be from 1 to 16 over X data points (the number of data points varies with a maximum of 30). I'd like to be able to measure this volatility and then map it to a…
GeoffreyF67
  • 11,061
  • 11
  • 46
  • 56
1
vote
0 answers

volatility forecasting using GARCH

I have the log returns of closing prices and am trying to use GARCH(1,1) model to forecast volatility of these log returns. So, far I have the following code, but I get incorrect values for my forecast. library(quantmod) library(tseries)…
gianteagle
  • 47
  • 2
  • 6
0
votes
0 answers

why my 3d plot of volatility surface python code is empty

my data is as follow: and I first plot volatility surface for this: surface = ( calls[['Time_To_Maturity', 'Strike_Price', 'Implied_Volatility']] .pivot_table(values='Implied_Volatility', index='Strike_Price', columns='Time_To_Maturity') …
Yamada's L
  • 1
0
votes
0 answers

Volatility - ISF Creation - Get kernel debug info

Currently facing problems while trying to create an ISF Profile for Volatility 3 (for Linux). I want to get the debug kernel, but whatever I'm trying (for whichever Linux I'm using, so far Ubuntu or Debian) does not work. I'm trying to get this to…
GWST
  • 1
0
votes
0 answers

EGARCH estimation, Why am I getting different results?

I'm trying to estimate an EGARCH on python. Everything works but the problem is I get different values for alpha, Beta and gamma compared to Gretl and MatLab. I can't understand what I'm doing wrong. Any clue? ` import pandas as pd import numpy as…
Mauro Volpi
  • 1
0
votes
0 answers

Can we recover a frame from a paint.exe process dump

When a paint.exe process crashes in a system is it possible to recover the drawing we are working on using the raw memory dump?....maybe by using volatility or other tools...also please mention how we can completely recover the frame I tried to…
bluee
  • 11
  • 1
0
votes
0 answers

Is there a way to compute a a Variance Swap Fair Strike directly from the SVI implied volatility parametrization?

Suppose I have fitted Gatheral's SVI parametrization to an equity implied volatility surface. From these fitted parameters, is there a a method to directly compute the fair strike of a variance swap from the SVI parameters without having to compute…
Alex
  • 55
  • 6
0
votes
0 answers

Understanding RAM address mapping in volatility

Using the volatility windows.vadyarascan plugin, I got a keyword hit at the virtual memory address 0x20600091b4a in the address space of process PID=2008. I want to check this location in the actual memory dump using WinHex. Using literal string…
user946822
  • 25
  • 3
0
votes
0 answers

arma-garch in r time series

I am working with a TS that shows me the electricity price from 1998 to 2022 with the avg mean pr month. I have used ann arma-garch to look for changes in vlolatility. Im am not sure how to quality check the model. dose anybody know, and or have any…
Mie
  • 1
  • 1
0
votes
0 answers

"Error in uniroot(.fGBSVolatility, interval = c(-10, 10), price = price, : f() values at end points not of opposite sign"

Here is the code I am trying to run: for(i in 1:(nrow(data)-1)) { S = data$Underlying[i] Time = data$DaysToExpiry[i]/365 r = b = 0.04 price = 67.5 X=860 type="c" vol = GBSVolatility(price=price, TypeFlag=type, S=S, X=X, Time=Time,…
blankstandish3
  • 1
  • 1
0
votes
0 answers

How to estimate a Multivariate GARCH-M Model with R?

I'm looking for an R package where I can perform multiple Garch-M model (sepisifically bivariate E-GARCH-M)). In my long-term research, I could not find a package that I could make estimation. I would also like to take this opportunity to learn how…
Ali Osman
  • 17
  • 4
0
votes
0 answers

There are something that i don't know with this plot?

I am looking at this code, previously v-transformations were done and fitting VT-ARMA copula models, now here it is applying shapiro test to residuals and want to plot 4 graphs:  https://i.stack.imgur.com/gTtBU.png These 4 plots should come out of…
TheFutureIsQuant
  • 1
  • 1
0
votes
0 answers

Volatility Modelling of Equity , error in code

Dear Stackoverflow Community, I am working on the codes by https://rpubs.com/rsayed/573439 to "measure the volatility spillovers and connectedness" using Diebold-Yilmaz Methodology…
user17940819
  • 1
  • 3
0
votes
1 answer

Constructing annualized volatility of returns with panel data

I would like to construct annualized volatility of returns for a panel data set in R. I have monthly returns (%) per month, per firm (entity), for a large dataset. I would like to construct the five year average of annualized volatility of monthly…
Peter
  • 1
  • 1
1 2 3
…
11 12