Questions tagged [volatility]
175 questions
0
votes
0 answers
Trying to build a model to link GDP growth of a country to prices and production of oil and gas
I'm trying to build a model which would link GDP growth to oil and gas prices.
More specifically, I selected Canada's GDP and the WCS, WTI and Brent.
However, importantly enough, WCS is a commodity that is highly correlated to WTI already, so…
Sofiane
- 45
- 7
0
votes
1 answer
SAS: Calculating multiple Implied Volatilities for dataset of options
I want to calculate daily the implied volatility for a data set of option chains. I have all necessary data in a dataset with the columns:
OptionID opt_price strike today exp eq_price intrate
The SAS code for the IV is:
options pageno=1 nodate…
MaBo88
- 97
- 1
- 1
- 9
0
votes
2 answers
Error in as.vector(data) : no method for coercing this S4 class to a vector in R
I am trying to run volatility from GARCH model:
Used libraries:
source("TimeSeriesFunctions.R")
library(PerformanceAnalytics)
library(fGarch)
library(MonteCarlo)
library(Bootstrap)
library(xts)
library(quantmod)
library(dynlm)
GARCH1 = garchFit(~…
S_Star
- 53
- 5
0
votes
1 answer
How to import a package that use absolute import in python
I'm trying to import volatility3 into my python project/script, so that I don't have to use os.system since volatility3 is already made in python3.
I'm wondering how can I import all the functions/modules of said project ? The functions I'm…
user9172123
0
votes
1 answer
Autofill rows in R, daily volatility calculation
my dataset looks like this:
set.seed(1234)
mydata <- data.frame("Returns" = sample(1:20,200, replace=T), "Vol" = 0)
I calculated annualized daily volatilty for the first 21 rows in a new column:
d_vol <- sd(mydata$Returns[1:21])
y_vol <-…
0
votes
1 answer
How to get the specific file(txt) with volatility?
I tried to filescan,and I see the .txt I want to open.But how can I open the txt?
I am new with volatility,and I tried more than 6 hours to get the txt.I tried dumpfiles,but I finally get lots of files that does'nt match the file I want to get.
Ltfall
- 1
0
votes
1 answer
Fixed.pars meaning rmGarch
I'm an italian student using rmgarch package for forecasting covariance matrix. While using ugarchspec function for defining input parameters of univariate GARCH model using a t-Student distribution, I have noticed that there is a parameter called…
Tommaso Ferrari
- 13
- 1
0
votes
1 answer
How to model a GARCH with explanatory variables in mean and variance equation
I want to introduce two GARCH models in R with a GARCH(1,1) and AR(1,2).
My data looks as follows:
Date Price
2013-05-03 97.75
2013-05-04 112.50
2013-05-05 115.91
2013-05-06 112.30
2013-05-07 111.50
2013-05-08 113.57
reg1 …
silamon
- 13
- 6
0
votes
0 answers
Where to put a dummy variable in GARCH in Mean Code of Tsay and get output?
I need to test the impact of dummy variable in GARCH in Mean code provided by Tsay -http://faculty.chicagobooth.edu/ruey.tsay/teaching/bs41202/sp2013/garchM.R
Where should I add the dummy variable in this code to run it?
NSF
- 23
- 6
0
votes
0 answers
Is this the correct way to forecast stock price volatility using GARCH
I am attempting to make a forecast of a stock's volatility some time into the future (say 90 days). It seems that GARCH is a traditionally used model for this.
I have implemented this below using Python's arch library. Everything I do is explained…
KOB
- 4,084
- 9
- 44
- 88
0
votes
0 answers
Data Generating Process in R
Do you know how to conduct the data generating process using the GARCH model to get the volatility in R?
w=0.0000041584
a=0.15683
b=0.80359
d=7.3125
rt=1
sigma<-numeric(500)
sigma[1]=sqrt(w/(1-a-b))
for (i in 1:500) {
z<-rt(100,5)/sqrt(d/(d-2))
…
LEI FENG
- 11
- 1
0
votes
1 answer
vollib: Sigma in calculation
I am not sure if this fits here. But I am about to calculate implied volatility of options using the vollib (py_vollib) / lets_be_rational python library. Anyway, one of the input factos is Sigma, explained as annualized std dev./volatility. They…
MaBo88
- 97
- 1
- 1
- 9
0
votes
1 answer
Make same calculation in different chunks of dataframe
so I have a dataframe like this:
head(TNX)
date strike_price impl_volatility moneyness
1 1996-09-03 65000 0.192926 0.9431225
4 1996-09-03 65000 0.184757 0.9431225
6 1996-09-03 55000 0.190826…
Davide
- 3
- 5
0
votes
1 answer
BadOptionError when import volatility.conf
I write below code and it gives me error in first line! whats wrong is with this code:
import volatility.conf as conf
import volatility.registry as reg
import volatility.commands as commands
import volatility.addrspace as addrspace
import…
MSepehr
- 890
- 2
- 13
- 36
0
votes
1 answer
calculating implued volatility in excel
i am trying to calculate the implied volatility in excel. This is funaction i am using: …
user1607
- 531
- 7
- 28