Comments on: Is current volatility unprecedented? The Answer depends on how volatility is measured http://www.hedgeworld.com/blog/?p=3601 A look behind the hedge fund curtain Tue, 21 May 2013 04:27:53 +0000 http://wordpress.org/?v=2.6 By: Irene Aldridge http://www.hedgeworld.com/blog/?p=3601#comment-43074 Irene Aldridge Tue, 07 Feb 2012 16:55:07 +0000 http://www.hedgeworld.com/blog/?p=3601#comment-43074 Dear Smartrs, while Garch(1,1) is a method for measuring vol, it's not the only method for doing so, something this note happens to be about. You may want to brush up on recent lit of vol calculations. Drop me an email if you'd like some references. Have a profitable day! Dear Smartrs, while Garch(1,1) is a method for measuring vol, it’s not the only method for doing so, something this note happens to be about. You may want to brush up on recent lit of vol calculations. Drop me an email if you’d like some references. Have a profitable day!

]]> By: smartrs http://www.hedgeworld.com/blog/?p=3601#comment-31541 smartrs Mon, 31 Oct 2011 09:50:13 +0000 http://www.hedgeworld.com/blog/?p=3601#comment-31541 Its not really fair to compare the maximum recorded range, which necessarily takes only the two extremes on a day, and then to compare them to the simple 30 day standard deviation based on closes. What happens if the high/low from October 87 crash are bad prints with no volume at those prices...are they valid samples? The 30 day value will necessarily have the extremes diluted out, so you are comparing apples and oranges. Would be interesting to see a Garch(1,1) model instead, as this is industry standard, based on daily closes, and based on hourly closes multiplied up by 5, so that the two can be compared. Its not really fair to compare the maximum recorded range, which necessarily takes only the two extremes on a day, and then to compare them to the simple 30 day standard deviation based on closes. What happens if the high/low from October 87 crash are bad prints with no volume at those prices…are they valid samples? The 30 day value will necessarily have the extremes diluted out, so you are comparing apples and oranges.

Would be interesting to see a Garch(1,1) model instead, as this is industry standard, based on daily closes, and based on hourly closes multiplied up by 5, so that the two can be compared.

]]> By: In Between Days: EU Summit – Risk Reversal http://www.hedgeworld.com/blog/?p=3601#comment-31184 In Between Days: EU Summit – Risk Reversal Wed, 26 Oct 2011 04:17:55 +0000 http://www.hedgeworld.com/blog/?p=3601#comment-31184 [...] Reuters According to the historical volatility measure, recent volatility is hitting the all-time high levels, even equaling or exceeding that surrounding the Black Monday of 1987. According to the intraday volatility measure, current volatility is nowhere near the levels observed during the Oct. 19 crash of 1987, when the S&P 500 registered a 25% move between its daily high and the low. Furthermore, present intraday volatility levels are comparable to those observed in the late 1990s, early 1970s and even 1962. [...] [...] Reuters According to the historical volatility measure, recent volatility is hitting the all-time high levels, even equaling or exceeding that surrounding the Black Monday of 1987. According to the intraday volatility measure, current volatility is nowhere near the levels observed during the Oct. 19 crash of 1987, when the S&P 500 registered a 25% move between its daily high and the low. Furthermore, present intraday volatility levels are comparable to those observed in the late 1990s, early 1970s and even 1962. [...]

]]> By: Tuesday links: purchase decisions | Abnormal Returns http://www.hedgeworld.com/blog/?p=3601#comment-31147 Tuesday links: purchase decisions | Abnormal Returns Tue, 25 Oct 2011 16:56:59 +0000 http://www.hedgeworld.com/blog/?p=3601#comment-31147 [...] Is current volatility unprecedented?  (HedgeWorld) [...] [...] Is current volatility unprecedented?  (HedgeWorld) [...]

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