Adding EURUSD Historical Volatility Predictions

Posted on Do 20 Oktober 2016 in misc • Tagged with Forex, Options • 1 min read

I recently connected my historical volatility prediction processes to the FRED API and pulled in closing data for the Euro. I want to autogenerate currency volatility predictions just like what I do for the stock indicies.

The only problem now is that the training and optimization part takes to long …


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S&P500 Next Gen Volatility Model Results

Posted on Mi 05 September 2007 in misc • Tagged with Options, Volatility, S&P500 • 1 min read

I just wanted to share with you the results from my next generation S&P500 Volatility Model. This model seeks to predict, on a weekly basis, the direction of the S&P500's Historical Volatility. I optimize the model weekly and then make a one week forward prediction on a rolling …


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