Volatility Institute Launches at NYU Shanghai

Nov 28 2014
Written by NYU Shanghai

On November 27, 2014, NYU Shanghai celebrated the launch of its Volatility Institute. The Volatility Institute at NYU Shanghai (VINS), located at the school’s Pudong Academic Building in the heart of Lujiazui, China’s financial center, aims to create opportunities for research focused on both the Chinese financial markets and markets around the world. It also seeks to facilitate collaboration and community-building among market participants and academic researchers within China and abroad, as well as help improve global financial markets by providing timely financial information and analysis to academics, practitioners, regulators and policy makers through innovative technology platforms and services.

The Volatility Institute at NYU Shanghai, with generous support from the Finance Service Bureau Pudong and NYU Shanghai, will operate in close partnership with the Volatility Institute at the New York University Stern School of Business, which is under the direction of Nobel Laureate and volatility expert Robert Engle. The Volatility Institute at NYU Stern School of Business, created by Engle in March 2009, has the over-arching mission to develop and disseminate cutting-edge research on risks in global financial markets and in financial econometrics that will ultimately contribute in a meaningful way to international financial policy.

 

One of the research tools of the Volatility Institute is the Volatility Lab (V-Lab), which provides real-time measurement, modeling and forecasting of financial volatility, correlations, and risk for a wide spectrum of assets. V-Lab blends together both classic models, including Engle’s award-winning ARCH model, as well as some of the latest advances proposed in financial econometrics literature. Its aim is to provide real-time evidence on market dynamics for researchers, regulators, and practitioners. The V-Lab currently runs 28,900 analyses on 6,053 data sets, producing a total of 63,766 series each day.

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