Predicting Historical Volatility for the S&P500

Posted on So 17 Dezember 2017 in misc • Tagged with Forecasting, Historical Volatility, Option Trading, RapidMiner • 7 min read

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 idea was to predict the HV 5 trading days ahead from Friday to Friday …

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