Volatility: Realized, Implied, and Why It Clusters foundational
Volatility is not one number but a family of related objects: what happened, what the options market prices, and what a model forecasts next.
Volatility is not one number but a family of related objects: what happened, what the options market prices, and what a model forecasts next.
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References
Empirical properties of asset returns: stylized facts and statistical issues
R. Cont
(2001)
— Quantitative Finance
Time-Series Techniques: Estimating Volatility
Stephen Marra
(2023)
— The Journal of Portfolio Management
Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev
(1986)
— Journal of Econometrics
Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models
Rama Cont, Gilles Teyssière, Alan P. Kirman
(2007)
— Springer