a cleaner way to compute seasonal vol
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...
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