V-Lab
V-Lab

Volatility Analysis Page

This page reports summary information about the fitted volatility models on the asset of interest. Volatility is defined as the annualized standard deviation of returns (assuming 252 trading days per year).

Next Trading Day Forecast

A volatility prediction is listed at the top of the page. The volatility prediction includes the predicted volatility for the next trading day, as well as the predicted change in volatility in parenthesis. For example, a prediction of 15.00% (6.00%) would indicate that the predicted volatility for the next trading day is 15%, which represents an increase in volatility from the previous level of 9% (15% - 6%). Forecast increases in volatility are colored red, whereas forecast decreases are shown in green.

Volatility Summary Table

The volatility summary table reports:

  • Vol Prediction: One-step ahead Volatility prediction, day of the prediction, absolute change with respect to the previous day.
  • Price: Last recorded daily price.
  • Return: Last recorded daily return.
  • Avg Week Vol: Average volatility over the last week (5 days).
  • Avg Month Vol: Average volatility over the last month (22 days).
  • Min Vol: Minimum volatility over the estimation period.
  • Max Vol: Maximum volatility over the estimation period.
  • Avg Vol: Average volatility over the estimation period.
  • Vol of Vol: Standard deviation of volatility over the estimation period.
  • 1 Week Pred: Volatility Prediction in the next 5 days.
  • 1 Month Pred: Volatility Prediction in the next 22 days.
  • 6 Month Pred: Volatility Prediction in the next 126 days.
  • 1 Year Pred: Volatility Prediction in the next 252 days.

Volatility Plot

The volatility plot shows the the one-step ahead annualized volatility predictions.

Plot Options:

  • Date Range: This field allows one to view a portion of the series within the date range. Dates are selected using a pop-up calendar. The default is a two-year period.
  • Window: The window option allows one to view the most recent observtions within the date range.
  • Plot Menu:
    • Compare: The compare option allows to add other volatility series as well as the VIX to the volatility graph.
      • Adding a series
        To select the VIX or another volatility model for the same asset, check the checkbox next to the desired series in the dropdown menu. To add any other series, enter the ticker symbol for the series in the text box of the "Other Analyses" submenu and select the appropriate model from the dropdown box to the left of the textbox. If you are unsure of which assets are in the database, assets will appear in an autoselect menu underneath the textbox as you type. After you have entered the desired ticker and model, hit the enter key or click the "Add" button. Your series will appear on the chart and will also appear in a new menu in the main compare menu.
      • Removing a series
        To remove the series that you added, click on the "X" button next to it on the main compare menu. If you wish to remove all comparison series, click the "Clear All" button.
    • Sub Plot: Allows you to add/remove a plot with supplementary information about the asset on the bottom of the graph. You may choose a plot of daily returns, a plot of daily prices, or a plot of both the return and price series. You may also choose not to have any sub plot.
    • Line Style: changes the line style of the volatility series. For plots with only a few data points, it is sometimes easier to view specific data points with the "Lines Points" option. However, for a larger dataset, these points can become distracting.
    • Key Position: This option changes the position of the volatility series legend. You may choose to position the key either outside the graph or inside the graph. If you have chosen to plot the key inside the graph, you may further choose to plot the key at each of the four corners inside the graph. Note that choosing to plot the key outside the graph will remove any sub plots, if present.

Model Estimation Table

The model estimation table reports estimated model parameters together with their t-stats.

Documentation

For more information on the model (e.g. model definition, estimation and prediction) click on the documentation links on the analysis page.