Sentences with phrase «volatility mean reverts»
Not exact matches
On the other hand they seem to be smaller in high - volatility environments (possibly a side - effect of mean - reverting volatility).
http://qusma.com/
In a previous post, we showed that the spot volatility index, VIX, has a strong mean reverting tendency.
Volatility will be higher than in the past, but it always reverts to the mean.
The forward market for 1 - year implied volatility doesn't exist in any deep way, so the insurance company decides that it will have to take its chances, and assume that volatility will mean revert over longer periods of time.
For example, the idea that volatility is mean reverting.
As I understand it, volatility is mean reverting, but price isn't necessarily.
Price changes tend to mean revert, so estimates of annualized realized volatility drop as the length of the period rises.
People are putting money into XIV because they «know» that implied volatility always mean - reverts, and so they will make easy money after a volatility spike.
In a previous post, we showed that the spot volatility index, VIX, has a strong mean reverting tendency.
Anyway, currencies are mean - reverting much of the time — so despite high short - term FX volatility, in the medium term the scale of your equity gains / losses is likely to far exceed any related currency gains / losses.