As the bond market reels from the spiking yields and the surge in volatility, analysts at Charles Schwab are predicting that last week’s “Trump put” was a potential policy response to the bond market ...

Market participants' expectations, as reflected in implied volatility, maybe a more accurate reflection of future price movements than past price movements. When it comes to short-term moves, ...

VIX has increased a bit since our last update in spite of the rise in the equity market, which is rare but plausible given VIX is on the lower side of the historical range. VIX futures however were ...

Stochastic volatility represents an essential framework for understanding the dynamic uncertainty inherent in financial markets. This approach extends traditional models by recognising that volatility ...

Volatility can be a double-edged sword, providing quick gains if you nail the directional view and timing, but sting quickly if you’re on the wrong side. However, volatility can be harvested using ...

Citations: Todorov, Viktor, George Tauchen, Iaryna Grynkiv. 2011. Realized Laplace Transforms for Estimation of Jump Diffusive Volatility Models. Journal of Econometrics. (2)367-381.

Volatility refers to the extent of price fluctuations for a given asset or market. Historically, volatility has been inversely correlated with the stock market. When stock markets rally, volatility ...

One of the most important risk factors when trading financial assets and their derivatives is the actual and historical volatility of the underlying asset that impacts the implied volatility used to ...

Citations: Todorov, Viktor. 2009. Estimation of Continuous-Time Stochastic Volatility Models with Jumps Using High-Frequency Data. Journal of Econometrics. 131-148.