Institute Overview

The 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. The Volatility Institute has been instrumental in training and collaborating with a series of successful post-doctoral students. Gonzalo Rangel and Christian Brownlees were followed by Diane Pierret and Guillaume Roussellet, all of whom have gone on to receive successful positions at prestigious universities. In addition, the Volatility Institute has provided support to PhD students Bryan Kelly, Emil Siriwardane and Tianyue Ruan. The Volatility Institute also organizes several events throughout the academic year, including Quantitative Financial Econometrics seminars (QFE) and an annual conference.

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. In the fall of 2008, the next generation volatility laboratory or V-Lab was created.  V-Lab now provides real time measurement, modeling and forecasting of financial volatility and correlations for a wide spectrum of assets. V-Lab blends together both classic models as well as some of the latest advances proposed in the financial econometrics literature. The aim of the project is to provide real time evidence on market risks for both researchers and practitioners.