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EdisonCruise
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How to forecast volatility based on fundamental analysis?

January 5th, 2015, 7:51 am

I know there are lots of papers and books cover forecasting volatility by quantitative model. However, is there any practical guide on forecast volatility based on fundamental analysis, like the analysis on government policy, economic conditions of foreign/domestic countries, customers' demand and supply, etc.. After collecting these information, is there any methodology to integrate it into the volatility model (for example GARCH(1,1))?Is there any book/paper where I can begin with?Thank you in advance.
Last edited by EdisonCruise on January 4th, 2015, 11:00 pm, edited 1 time in total.
 
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How to forecast volatility based on fundamental analysis?

January 5th, 2015, 11:55 am

There are bit of your questions I am not sure I get. But, maybe you can find inspiration in Geman & Nguyen's "Soybean Inventory and Forward Curve Dynamics". In their paper, the authors include a 'scarcity' variable in their (deterministic) volatility model. Scarcity being computed as the inverse of stocks.