If you own stocks of a company, how big is the risk to lose at least 5 percent of your money tomorrow? To answer that question, you need to know the variance of that stock. The problem with stock market variances is that they change a lot over time. They are very high in times … Continue reading Something is wrong with realized volatility
Statistics
Visualizing MonteCarlo Simulation Results: Mean vs Median
Simulation studies are used in a wide range of areas from risk management, to epidemiology, and of course in statistics. The MonteCarlo package provides tools to automatize the design of these kind of simulation studies in R. The user only has to specify the random experiment he or she wants to conduct and to specify … Continue reading Visualizing MonteCarlo Simulation Results: Mean vs Median
first differences 