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
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
May 10, 2013 - Board of Governors of the Federal Reserve System (Ben Bernanke cites systemic risk research in recent speech)
April 4, 2013 - The Washington Post ("Looking for signals of danger ahead")
March 7, 2013 - Bloomberg Businessweek ("Federal Reserve's Stress Testing Shows Politics, Not Math")
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.
Upcoming Conferences
The Volatility Institute hosted its fifth annual Conference, "Volatility of Credit Risk" on April 26th, 2013.Please visit our conference page for more details.
View our Program or Photo Gallery from our fifth annual Conference, "Volatility of Credit Risk."
