The Volatility Institute
The Volatility Institute was created at New York University Stern School of Business in 2009 under the direction of Nobel Laureate and volatility expert Professor Robert Engle. The Volatility Institute's mission is to develop and disseminate research on risks in financial markets and closely related topics in financial econometrics. The Institute can help shape the world of finance by providing state of the art, up-to-the-minute financial information to academics, practitioners, regulators and policy makers globally. Students and faculty worldwide will find educational resources for teaching and learning.
Robert Engle, the Michael Armellino Professor of Finance at New York University Stern School of Business, was awarded the 2003 Nobel Prize in Economics for his research on the concept of autoregressive conditional heteroskedasticity (ARCH).
Professor Engle developed this method for statistical modeling of time-varying volatility and demonstrated that these techniques accurately capture the properties of many time series. He shared the prize with Clive W. J. Granger of the University of California at San Diego.
(Professor Engle's full bio)
Robert Engle, Director
QFE Seminar SeriesSign up to be added to our mailing list for this free seminar series.
In the SpotlightNovember 20, 2015 -- The VINS First Annual Conference at New York University at Shanghai was held, hosted by the Volatility Institute at NYU Shanghai (VINS), Economics School at Fudan University, and Pudong Institute of Finance. View more conference details here.
V-Lab in the News
July 13, 2016 - The Clearing House ("Comparing the Results of Stress Tests: CCAR 2016 Versus NYU Stern V-Lab Model")
July 5, 2016 - The Independent ("UK banks and businesses count the cost of Brexit as pessimism takes hold")
July 5, 2016 - BloombergView ("Brexit Might Have Cost Banks $165 Billion")
July 4, 2016 - Money and Banking ("Brexit and Systemic Risk")
The V-LabThe Volatility Institute's V-Lab (Volatility Laboratory) calculates volatilities and correlations every day on a wide range of assets using various methods. It produces volatility forecasts up to a year in advance.
Upcoming ConferencesThe Volatility Institute will host its eighth annual Conference, "Commodities and Emerging Market Risks" on April 29th, 2016.
Please visit our conference page for more details.
View our Program or Photo Gallery from our seventh annual Conference, "Fixed Income Risk: Measuring, Modeling and Management."