16 years of volatility on the S&P 500

Print Friendly

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%.

Share Button
Posted in Economics
Tags: , ,

Leave a Reply

Your email address will not be published. Required fields are marked *

*

+ 65 = 66

You may use these HTML tags and attributes: <a href="" title=""> <abbr title=""> <acronym title=""> <b> <blockquote cite=""> <cite> <code> <del datetime=""> <em> <i> <q cite=""> <strike> <strong>

Tweets