New York University’s Stern School of Business has launched a new center devoted to cutting-edge research on risks in financial markets and related topics in financial econometrics. Created under the leadership of Stern’s Nobel Laureate and finance professor Robert Engle, the Volatility Institute will feature its own Volatility Lab, or Vlab, which provides real-time measurements and forecasts of volatility for a range of assets including equities, exchange rates, commodities and bonds.
Stern's Vlab currently runs 300 analyses daily
“The economic crisis has put a spotlight on the importance of calculating and managing risk effectively,” Engle said in a statement announcing the new institute. “The forecasts coming out of our Volatility Lab will provide risk managers and regulators with alternative and independent measures to assess the state of the financial markets on an up-to-the-minute basis.”
The Vlab’s beta public release took place on March 1st. It is currently running 300 analyses each day on 84 datasets using both classic models and some of the latest advances in financial econometrics. The Vlab produces a total of 1,000 series daily, and a demo username and password available on the beta site provides access to a wider set of models and analyses.
Through the Vlab and other initiatives, the Volatility Institute aims to foster new research and centralize datasets for practitioners, regulators and academics. “The decision to create the Volatility Institute reflects our commitment to cultivating a scholarly community that will advance the field of risk management while having a direct impact on the financial markets,” NYU Stern Dean Thomas Cooley said in a statement.
The institute also will host its first conference for researchers and the business community at NYU Stern on “Volatilities and Correlations in Stressed Markets” on April 3rd.
To learn more about Stern’s new Volatility Institute, click here. To visit the Vlab, click here.
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