How does it help with options trading and pricing?

It provides tools for extracting implied volatility from market prices, analyzing volatility smiles and skews, and interpreting the volatility surface across different maturities.

What time-series models are supported by this skill?

The skill covers EWMA (Exponentially Weighted Moving Average) and GARCH(1,1) for capturing volatility clustering and mean reversion in financial data.

Does it provide specific formulas for risk forecasting?

Yes, it includes standard formulas for GARCH persistence, long-run variance, multi-step forecasts, and the volatility risk premium calculation.

Can it analyze market sentiment via the VIX?

Yes, it includes guidance on interpreting VIX levels, its relationship to expected risk, and how it is derived from a wide strip of S&P 500 options.

Is this skill suitable for institutional risk management?

Absolutely; it is specifically designed for forward-looking risk assessment, position sizing, and understanding tail-risk through volatility measures.

Volatility Modeling & Forecasting

Name: Volatility Modeling & Forecasting
Author: JoelLewis

byJoelLewis

•

数据科学与机器学习

Forecasts market volatility and interprets options-implied measures using advanced time-series models and volatility surface analysis.

This skill empowers Claude to perform sophisticated financial risk analysis by implementing and interpreting volatility models such as EWMA and GARCH(1,1). It provides a comprehensive framework for extracting implied volatility from option prices, constructing volatility surfaces, and analyzing the volatility risk premium. Whether calculating the VIX's impact on market sentiment or forecasting future price fluctuations for position sizing, this tool serves as a foundational resource for quantitative finance, options trading, and institutional risk management.

主要功能

01Volatility surface, smile, and skew construction and interpretation

0218 GitHub stars

03Time-series forecasting using EWMA and GARCH(1,1) models

04Implied volatility extraction and Black-Scholes model integration

05Analysis of the volatility risk premium and VIX index trends

06Calculation of volatility persistence and half-life of shocks

使用场景

01Identifying trading opportunities by comparing realized volatility against implied volatility

02Estimating future asset volatility for Value-at-Risk (VaR) calculations and risk management

03Pricing complex options by interpolating volatility surfaces and term structures

What are Skills?·How to Install

Install with 🐟 Skill.Fish

npx skillfish add joellewis/finance_skills volatility-modeling

For use in Claude.ai and ChatGPT

Download Skill