Institute OverviewThe Volatility Institute began as a research center in Financial Econometrics, housed within NYU Stern's Salomon Center for the Study of Financial Institutions. The Financial Econometrics center was established by the President of the University, John Sexton, in October 2004, and has been run since that time by NYU Stern Nobel Laureate Professor Robert Engle. Thus far, the center has established an active interdisciplinary working group with a variety of functions. A visiting faculty research fellowship was funded by Morgan Stanley for two years and brought assistant professors from the University of Warsaw and University of Chicago to spend a year in New York at NYU. This position included the ability to work with practitioners at Morgan Stanley on projects using confidential data and models. The first post doctoral fellow at the institute was Gonzalo Rangel. His PhD was from UCSD and his research is featured in many papers as well as in V-Lab. He resides in Mexico City. The second post doctoral fellow is Christian Brownlees from Florence with his PhD from the University of Florence. His statistical research and extensive computer experience are at the heart of V-Lab.
The Salomon Center and the Center for Financial Econometrics opened the first volatility data site in 2007. This site generated volatility forecasts on about 15 assets daily until 2009. In the fall of 2008, the next generation volatility laboratory or V-Lab was created. It now generates volatility and correlation forecasts daily on hundreds of series with many different methodologies.
The Volatility Institute's V-Lab 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.