time-series

Time Series

Volatility Prediction

Definitions

Option pricing models, such as Black–Scholes Model, relies on reliable predictions of implied volatility. VIX (CBOE Volatility Index) is a popular measure of the stock market's expectation of volatility implied by S&P500 index options, calculated and published by the Chicago Board Options Exchange (CBOE).

Data

VIX values are provided, in the csv file volatility.csv. Use the provided snippet to import it:

from reader import get_ivx

# pandas DataFrame
volatility = get_ivx()

Guidance

This is not an exhaustive list of tasks, the points are provided in order to guide you:

Decide on Model Nature (Generative or Discriminative)

Due to the sequential nature of the data, both generative and discriminative models can fit the problem.

Model

Build a regression model.

Evaluation

Report results of your model and approach. Highlight effectiveness of your this strategy.