Skip to main content
Quantitative Finance

Return to Question

deleted 158 characters in body; edited title
Source Link
Sane
Sane
  • 692
  • 3
  • 12

What is commonly accepted approach to define if volatility regimesis high or not?

I have read in some documents, that low volatility regimeHow is volatility regimes commonly defined as $VIX\leq12$, medium as $12<VIX\leq20$ and high if $VIX>20$. Does this make sensein the literature? What are commonly accepted practicesmetrics used to define high volatility regimes based on VIX valuesregime? Please provide references, if any.

What is commonly accepted approach to define volatility regimes?

I have read in some documents, that low volatility regime is defined as $VIX\leq12$, medium as $12<VIX\leq20$ and high if $VIX>20$. Does this make sense? What are commonly accepted practices to define volatility regimes based on VIX values? Please provide references, if any.

What define if volatility is high or not?

How is volatility regimes commonly defined in the literature? What are metrics used to define high volatility regime?

Source Link
Sane
Sane
  • 692
  • 3
  • 12

What is commonly accepted approach to define volatility regimes?

I have read in some documents, that low volatility regime is defined as $VIX\leq12$, medium as $12<VIX\leq20$ and high if $VIX>20$. Does this make sense? What are commonly accepted practices to define volatility regimes based on VIX values? Please provide references, if any.