volatility

  1. G

    Quantitative Risk Management, Log returns on Parametric Value at Risk

    Hello guys, i have this huge coursework which i have been working for a long time and the deadline is tomorrow, so far i have been able to answer everything but one question on which i would really appreciate the help. Basically one part of the coursework is to acquire historical data for a...
  2. T

    Excel Formula for ranking products

    Hi, I want to score a long list of products based on their volatility of quantity sold in the last 12 months. for example, if prod A gets sold 30 each month, then total is 360 for year. if prod B gets sold in month 3 at 100 and month 4 at 300 then year end is 400 . prod A is better...
  3. A

    Calculating forecast error for a long-term volatility forecast

    Hi, I am trying to calculate the forecast standard error for a long-term volatility forecast of a time series. I am simply using the unbiased estimator of the historical volatility of the time series as my forecast. The historical time series is monthly frequency with approximately 360 data...
  4. A

    Comparing two samples of volatility data: Some complications

    Hi guys, I'm having some problems establishing the best possible test for a comparison of two samples. Background: I'm investigating the volatility in returns of Exchange Traded Funds which trade non-synchronously with the market of the underlying basket. For example, an ETF for a...
  5. A

    STATA - Finance - Portfolio Volatility

    Hi all, I am experiencing difficulties to calculate portfolio volatility each period ("rebalance") given the following variables (enclosed). Correlation ("corr_Nt") across assets ("ticker") remains constant within a period. It is an equally weighted portfolio but weight changes each period (#...
  6. A

    STATA - Finance - Portfolio Volatility

    Statistical package Please refer to the Statistical Package section for this post
  7. H

    Problems with some financial time-series

    Hello, For my thesis I was given the assignment to research the effect of macroeconomic news on stocks. I chose to investigate the effect of US announcements coming from the BLS on the Brazilian stock market. In my case I wanted to check if the announcements would have a significant effect on...
  8. W

    Arch to estimate volatility of equity

    Hi, I'm using stata 12 to estimate volatility of equity. My series is non-stationary and I want to use a arch(p,q) arch(1) model to estimate it. Equity = stock price x number of stocks I have 1500 observations divided into 23 quarters. I want to estimate volatility of equity per quarter. How...