Comments on: For Wonks Only — The Math of Volatility Mean-Reversion http://alephblog.com/2007/08/01/for-wonks-only-the-math-of-volatility-mean-reversion-2/ Helping Institutions and Ordinary People Invest Better by Focusing on Risk Control Fri, 25 May 2012 03:46:25 +0000 hourly 1 http://wordpress.org/?v=3.3.1 By: David Merkelhttp://alephblog.com/2007/08/01/for-wonks-only-the-math-of-volatility-mean-reversion-2/comment-page-1/#comment-18119 David Merkel Tue, 29 Jul 2008 01:07:20 +0000 http://alephblog.com/2007/08/01/for-wonks-only-the-math-of-volatility-mean-reversion-2/#comment-18119 Yes, it is rejected. The t-statistics are 6.32 and 6.37 respectively. The prob-values are roughly 3 in a billion. Yes, it is rejected. The t-statistics are 6.32 and 6.37 respectively. The prob-values are roughly 3 in a billion.

]]> By: Kesterhttp://alephblog.com/2007/08/01/for-wonks-only-the-math-of-volatility-mean-reversion-2/comment-page-1/#comment-17798 Kester Sun, 15 Jun 2008 20:02:57 +0000 http://alephblog.com/2007/08/01/for-wonks-only-the-math-of-volatility-mean-reversion-2/#comment-17798 Can you reject the hypothesis of a random walk, i.e. alpha = 0, beta = 1. Can you reject the hypothesis of a random walk, i.e. alpha = 0, beta = 1.

]]> By: andyhttp://alephblog.com/2007/08/01/for-wonks-only-the-math-of-volatility-mean-reversion-2/comment-page-1/#comment-2530 andy Fri, 03 Aug 2007 16:40:27 +0000 http://alephblog.com/2007/08/01/for-wonks-only-the-math-of-volatility-mean-reversion-2/#comment-2530 Hi, I am currently developing a mean reversion model for implied volatility but i need some sample data or webiste that provide the mean reversion rate with the option pricing to validate my work. do you have any ide where i can find it ? Thanks Hi, I am currently developing a mean reversion model for implied volatility but i need some sample data or webiste that provide the mean reversion rate with the option pricing to validate my work.

do you have any ide where i can find it ?

Thanks

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