Predicting Historical Volatility for the S&P500

Predicting Historical Volatility is easy with RapidMiner. The attached process uses RapidMiner to recreate a research paper Options trading driven by volatility directional accuracy on how to predict historical volatility (HV) for the S&P500. The...

comments

Calculating Historical Volatility

Hi there! This is one my most popular posts and I would love it if you became an RSS Reader! The inspiration for my S&P500 Volatility Timing model came from rereading portions of Mandelbrot's book, The (Mis)Behavior of Markets, and trolling...

comments