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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

April 27-28, 2017 -- The Volatility Institute partnered with the NASDAQ Derivatives Research project to hold a conference entitled, "Derivatives and Volatility: The State of the Art" at NYU Stern. View the conference details here.

V-Lab in the News

July 10, 2017 - Money and Banking ("China: Deleveraging is Hard to Do")

November 30, 2016 - Bloomberg (“Stress Tests”)

November 14, 2016 - Bloomberg (“Will China’s Financial Bust Ever Come?”)

October 5, 2016 - Ritholtz (“How Risky are the big US Banks?”)

October 3, 2016 - New York Times ("Deutsche Bank’s Appetite for Risk Throws Off Its Balance")

more...

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 will host its tenth annual Conference, "A Financial Approach to Climate Risk" on April 27th, 2018.

Please visit our conference page for more details.

View our Program from our ninth annual Conference, "Derivatives and Volatility: The State of the Art."