NYU Stern
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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

Robert Engle Selected as the Recipient of the 2011 IAFE/SunGard Financial Engineer of the Year Award.

V-Lab in the News

March 19, 2014 - BloombergView ("Most Big Banks Would Fail A Real Stress Test")

October 4, 2013 - FT Alphaville ("Computing the bill for European taxpayers, come the next crisis")

September 21, 2013 - Institute for New Economic Thinking, The Institute Blog ("Lehman Was Not Alone -- Measuring System Risk in the 2008 Crisis")

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 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."