Quantcast – a Risk.net Cutting Edge podcast cover image

Julien Guyon – 01/08/23

Quantcast – a Risk.net Cutting Edge podcast

CHAPTER

The Importance of Path-Dipotent Volatility Models

In 2014 I published a paper entitled Path-Dipotent Volatility about precisely those models. The joint spot-vole dynamics in the market is show the feedback from prices to volatility, but not just through the value of the asset price. For instance, the VIX is always very high if the S&P loses 10% of its value in two weeks - even if it's large. So that really means that actually the feedback should be from past returns and recent past returns rather than just the current asset price. And that's precisely what I wanted to dig in more depth.

00:00
Transcript
Play full episode

Remember Everything You Learn from Podcasts

Save insights instantly, chat with episodes, and build lasting knowledge - all powered by AI.
App store bannerPlay store banner