Data Science for Volatility Forecasting
What is Volatility
Volatility refers to the variation in the price of stock (or other asset). High volatility is characterized by large swings up and down in market value, and is not looked upon favorably for investors.. In this episode of the Data Science Roadshow, we feature a relatively well-known use case from market science, forecasting stock market volatility. The video includes a short description of the problem, with definitions and historical modeling approaches. From data collection, processing, visualization, model selection and tuning, each step is illustrated with recent history of the S&P 500 index and functions from JMSL, IMSL's data science library for Java.
Interested in Learning More About Data Science?
Watch the rest of the Data Science Roadshow:
See how IMSL Numerical Libraries allows you to address complex problems quickly with a variety of readily-available algorithms.