This research investigates the efficacy of Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models in forecasting realized volatility of Bitcoin returns. By employing both ...

Estimating Variance Swap Payoff and Volatility Index using Continuous-Time GARCH Processes ...

The system utilizes raw financial data as input and produces trading decision-support as output using a volatility prediction based on Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) ...

An implied volatility calculation can show you how much price movement you might expect to see until an options contract expires. The most common option pricing model is the Black-Scholes model ...

VolSplinesLib is a Python library for interpolating implied volatility surfaces using various volatility models. The library provides tools for fitting and interpolating models to market data, ...

This study investigates the impact of Federal Open Market Committee (FOMC) announcements on cryptocurrency market volatility using high-frequency data. Realized Variance (RV) is used to measure ...

Stocks with low fluctuation on a daily basis and often considered to be a more stable and reliable investment option.