NYU Stern
volatility graph 2012

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.

– About Rob Engle

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 Series

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In the Spotlight

November 27, 2014 -- Volatility Institute launches at NYU Shanghai. The Volatility Institute at NYU Shanghai  will operate in close partnership with and as an extension of the  Volatility Institute at New York University Stern School of Business, under the direction of Nobel Laureate and volatility expert Robert Engle, and with generous support from the Pudong Institute of Finance and NYU Shanghai. View more launch details and a photo gallery here.

V-Lab in the News

December 16, 2014 - FT Alphaville ("How to regulate banks: crazy like a fox")

November 25, 2014 - China Daily USA ("Shanghai university to open financial research institute")

July 29, 2014 - The Wall Street Journal ("China's Banks Pose World's Largest Systemic Risk")


The V-Lab

The 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.
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Upcoming Conferences

The Volatility Institute hosted its sixth annual Conference, "Market Liquidity and Funding Liquidity: Implications for Economic Risk" on April 25th, 2014.

Please visit our conference page for more details.

View our Program or Photo Gallery from our sixth annual Conference, "Market Liquidity and Funding Liquidity: Implications for Economic Risk."