Certificate of Completion
THIS ACKNOWLEDGES THAT
HAS COMPLETED THE SPRING 2023 DATA SCIENCE BOOT CAMP
Roman Holowinsky, PhD
JUNE 07, 2023
Forecasting Stock Volatility
George Mitchell, Waleed Ahmed, Thomas Polstra, Cameron Cinel, Yifan Wu, Palak Arora
Volatility is a measure of a stock price's uncertainty and is used throughout quant finance, for instance in pricing options. However, volatility is not something that is easily observed in the market, and requires estimation techniques.
I propose a project where we forecast a stock's next-day (or next-month) volatility from the previous day's (month) volatility. We would use some high frequency data (possibly minute-by-minute prices scraped from yfinance) and use the data to train an auto-regressive (AR) model for volatility. We could also use other machine learning techniques to produce other forecasting models and compare them with the AR model.