16 years of volatility on the S&P 500

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Lately, I was wondering how serious volatility has gotten so far and so decided to update my hall of volatility on the S&P 500. Check the following chart (drawn along a GARCH-estimated-1-day-99% VaR)

garch s&p500 as of February 22, 2016

In case you wonder, at 99% probability only 1% “exceedance” is theoretically expected (using the normal distribution hypothesis), though actual exceedance has been 2.6%.

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