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Volatility strategies
I am looking for information about volatility strategies and the evaluation of volatility strategies. Does anyone know any good recourses?
Volatility strategies
A TRADING STRATEGY BASED ON THE VIXhttp://www.finance-research.net/framemain.php? ... 0&go=1.pdf
Volatility strategies
http://www.ivolatility.com/news/Putting ... .pdfpretty innocent but it has some vol strategies, covered and naked...
Volatility strategies
Which factors can influence the volatility? I have to make a model to predict the volatility, how can I do this.
Volatility strategies
QuoteOriginally posted by: KanivanWhich factors can influence the volatility? I have to make a model to predict the volatility, how can I do this.That's such a vague question it's tough to answer with any degree of accuracy. What market are you looking at - equities, fixed income, fx?
Volatility strategies
Are you talking about implied volatility in the option market or realised volatility of the underlying?
Volatility strategies
So far as I know,there're lots of article regarding this issue,one prevailing approach is via regression to estimate vol.several papers use "(K/(S*sqrt(t))" as a explaination varialbe in their regression model,where K is strike price and S is underlyingprice and t is remianing time.Also,Some papers found that there's a certain relationship between implied vol and (implied vol-ATM series implied vol).If you mean option's implied volatility,I have some papers for reference.BTW,you can try to use GARCH or EWMA model to make you better understand.Regards
Last edited by wesker on September 15th, 2005, 10:00 pm, edited 1 time in total.