Methods and systems for providing equity volatility estimates and forecasts

摘要

In one aspect, the present invention comprises a method comprising the following steps: receiving high frequency trading and pricing data for a security; estimating current volatility of price of the security based on the high frequency trading and pricing data; forecasting future volatility of the price using two or more volatility forecasting models; back-testing each of the two or more models out-of-sample; ranking the two or more models in terms of reliability of each of the models, over a recent period of time, for the security; and reporting volatility forecasts of each of the models to a user, along with each model's reliability ranking.