Forecasting Implied Volatility with ARIMA Model-Volatility Analysis in Python

from Harbourfront Technologies · host Harbourfront Technologies

In a previous post, we presented theory and a practical example of calculating implied volatility for a given stock option. In this post, we are going to implement a model for forecasting the implied volatility. Specifically, we are going to use the Autoregressive Integrated Moving Average (ARIMA) model to forecast the volatility index VIX. http://tech.harbourfronts.com/trading/forecasting-implied-volatility-arima-model-volatility-analysis-python/

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Forecasting Implied Volatility with ARIMA Model-Volatility Analysis in Python

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