跟著諾貝爾獎得主學波動率

冬季修了諾貝爾經濟學獎得主Robert Engle的課，他是Stern三名在職諾獎得主之一，其最為人們所熟知的成就是發明ARCH模型。開課之前一直不明白為何73歲高齡了還來學校教書，學期結束後深刻地明白獲得諾獎真的是能讓人High一輩子的事情——老頭每節課都要花時間談談獲獎感受，以及沒事就黑一黑同是諾獎理論的Black-Scholes模型。另外他也不忘推廣自己其他的著作與理論，據他講下周要去給李克強講講中國銀行系統風險。

幾點感悟/總結：

1. Essentially, the source of volatility is new information. New information usually arrives in clusters, and thus makes volatility much more predictable than returns. On the other hand, volatility can measure the importance of news.

2. Risk/Volatility is normally asymmetric, thats why TARCH is a better model to measure downside volatility. (However, prior to the stock market crash of October 1987, the volatility surface of index options was indeed fairly flat.)
3. Fundamental causes of financial crisis:
1. Risk was underestimated
2. many market participants had strong motivation to ignore risks
4. Index is more skewed to negative than individual stocks, because correlation increases during crisis.
5. Theres a risk that risk will change -- so a term structure of VaR is needed.
6. Implied vol is usually higher than the vol calculated by GARCH. Why? Because people pay for volatility when the market is vibrant, which results volatilitys negative risk premium.

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