a cleaner way to compute seasonal vol

·Moontower··

Friends,Vivek emailed me a simple question after reading yesterday’s does revenue seasonality translate to vol seasonality? post: Why not just compute volatility from the daily returns within each calendar month instead of using a trailing 20-day window?Um, well, eh. I don’t know. I guess just had a blind spot. I think of rolling realized vol instinctively. But for a seasonality study, it has a problem I already flagged in the post: a big earnings move in August gets recounted ~20 times as the w...

Read full article →

Related Articles

UK Fuel Price Intelligence – Market analytics from reporting stations
theazureguy · Hacker News · 3mo ago
Microsoft filings suggest "around 70%" of its AI revenue is on OpenAI
speckx · Hacker News · 13d ago
The iPhone explains 33–52% of fertility decline among women aged 15–44
delichon · Hacker News · 2mo ago
Some fertility and AI forecasts
Tyler Cowen · Marginal Revolution · 1d ago
AI-Backed Securities
Matt Levine · Matt Levine · 7d ago