The Volatility Institute

The Volatility Institute was created at New York University Stern School of Business in 2009 under the direction of Nobel Laureate and volatility expert Professor Robert Engle.  The Volatility Institute’s mission is to develop and disseminate research on risks in financial markets and closely related topics in financial econometrics.  The Institute can help shape the world of finance by providing state of the art, up-to-the-minute financial information to academics, practitioners, regulators and policy makers globally.  Students and faculty worldwide will find educational resources for teaching and learning.

Objectives

• To serve as a centralized site for posting and sharing working papers and data sets for academics, practitioners and regulators
• To collaborate with both academics and practitioners, in both finance and econometrics, encouraging the most accurate and up-to-date research
• To encourage communication between academics and practitioners through lectures, workshops, seminars, fellowships and more
• To expand globally through short- and long-term research exchanges with students and faculty from around the world in order to collaborate on ideas and to cultivate new research

The Society for Financial Econometrics (SoFiE) is a global network of academics and practitioners dedicated to the fast-growing field of financial econometrics. SoFiE is committed to promoting and expanding research and education by organizing annual conferences and sponsoring programs and activities in the intersection of finance and econometrics. The society is associated with the Journal of Financial Econometrics and is housed within the NYU Stern Volatility Institute.  

The Volatility Institute’s Vlab calculates volatilities and correlations every day on a wide range of assets using various methods.  It produces volatility forecasts up to a year in advance. 

Supporting Institutions and Corporations:

Michael R. Armellino

FinEx Plus LLC & the Institute for Financial Studies (IFS)  

Center for the Study of Auctions, Procurements and Competition Policy (CAPCP) at The Pennsylvania State University  

Center for Research on International Financial and Energy Security (CRIFES) 

The NASDAQ OMX Group, Inc/NASDAQ OMX Educational Foundation