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Questions tagged [volatility]

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last directory accessed by the user using volatility3

Using volatility3, How can I find the last directory visited by the user in windows? In volatility2 we were able to find such thing using Shellbags plugin. But how can I do this in volatility3?
sazidul
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External regressors seem to be ignored ugarchspec

I am attempting to specify the following GARCH(1,1) model's in R (regressing realized volatility on trading volume). RV = realized volatility V = trading volume **RV = a + b*V + error **error ~ N(0,h(t)) h(t) = c + d(error(t-1))^2 + dh(t-1) +…
Donal healy
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SVM classifier n_samples, n_splits problem sklearn Python

I'm trying to predict volatility one step ahead with an SVM model based on O'Reilly book example (Machine Learning for Financial Risk Management with Python). When I copy exactly the example (with S&P500 data) it works well but now I'm having…
MARIO ANTONIO CASTILLO MACHUCA
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Google sheets: How to get Implied volatility data for stock for given date range

Using the formula below, I am successfully able to find daily stock data for any ticker for a given date range. Is there some way to get (or calculate) the daily implied volatility for the this downloaded data? GOOGLEFINANCE("GOOG", "open",…
Sinha
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Is it possible to flip a formula in R?

I was working with a project and I used the VaR() function from the PerformanceAnalytics package to calculate Value-at-risk. I wanted to find out the probability of a stock generating making a loss of 1% or more. I found a solution to the problem by…
Stakerauo
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Historical Volatility from Prices of many different bonds in same column

I have a csv file with bid/ask prices of many bonds (using ISIN identifiers) for the past 1 yr. Using these historical prices, I'm trying to calculate the historical volatility for each bond. Although it should be typically an easy task, the issue…
user16708102
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Compare MAPE for markets with different volatilities

I am trying to compare the forecast accuracy of a number of methods using MAPE across different commodity markets, such as corn, wheat, soybeans, coffee, cotton. Obviously the relative MAPE’s area impacted by the relative volatilities of each…
Alex16
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How can I use Volatility3 plugins via a Python script?

Usually when using Volatility3's plugins via a python script, I can just execute: os.system("python3 vol.py -f image.raw windows.imageinfo") But how can I get the same result using Volatility3 as a library, without executing shell commands? I've…
Omar Aouaj
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How to calculate the stock price volatility in a specific period of time in a xts object

I have a relative large xts object. It contains the daily adjusted closing prices from 2012-2021 for each company in the STOXX 600 Europe. I want to calculate the yearly volatility of the stocks for each year for each company. Here is a link of how…
Finnerizer
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Simple Questions on how to get specific elements in a xts object

I have a relative large xts object. It contains the daily adjusted closing prices from 2012-2021 for each company in the STOXX 600 Europe. I want to calculate the yearly volatility of the stocks for each year for each company. So for example I want…
Finnerizer
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compute standard deviation in R by sector

i'm new to R and I'm sorry if this question is already answered. This is an example of my dataset: idnumber SIC(1-digit) Year Ebit 198 A 2019 2344 196 A 2019 6383 374 A 2019 5628 281 A …
LucaCoding
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Why I got NaN when computing volatility?

I am trying to follow the equations on this paper here , to calculate the historical volatility for power time series data. The statistical description of the data as follows : count 9855.000000 mean 291.135088 std 187.503344 min …
Noori
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How to obtain GARCH volatility for 100 firms in a single CSV in r?

I am a newbie to R programming environment. Can anyone please help me with the following problem: I have a .csv file with stock return data for 100 odd firms (207 days each). I need to estimate GARCH volatilities for each firm and save the output…
Aditya
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java - visibility in ScheduledThreadPoolExecutor threads

I have a stop watch which runs for specified amount of time (duration parameter) using inner single threaded scheduled executor: public class StopWatch { private final AtomicBoolean running = new AtomicBoolean(); private final…
t3h_b0t
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How to calculate the historical monthly volatility from daily returns in R?

First I created an xts object, which contains 36 time series showing daily prices from 1980-01-02 to 2020-10-06. ENERGY_data$time <- as.Date(ENERGY_data$time, format("%Y/%m/%d")) ENERGY_xts <- ENERGY_data[order(ENERGY_data$time), ] ENERGY_xts <-…
Flash7
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