Timeline for What define if volatility is high or not?
Current License: CC BY-SA 4.0
9 events
| when toggle format | what | by | license | comment | |
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| Nov 26 at 11:20 | history | edited | Sane | CC BY-SA 4.0 |
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| Oct 24 at 8:48 | comment | added | Sane | Yes, this makes sense to me. Thank you. | |
| Oct 23 at 14:04 | comment | added | nbbo2 | One approach might be 25% in the low category, 50% in the middle and 25% in the high, over the entire time that VIX has existed. | |
| Oct 22 at 16:28 | answer | added | Content_Quantinsti | timeline score: 1 | |
| Oct 18 at 14:49 | comment | added | Sane | yes, agree, that's why i am trying to derive more reasonable estimates. | |
| Oct 18 at 13:58 | comment | added | nbbo2 | FWIW in the last 20 years (2004 to Sept 24, 2024) the vix has closed > 20 on 1666 days, has closed 12 to 20 on 3010 days, and has closed < 12 on 559 days. So the low vix category is perhaps a little too restrictive based on the last 20 years, the other 2 categories are reasonable. (OTOH there have been some periods of very low VIX if you go back further in time). | |
| Oct 18 at 7:23 | comment | added | Sane | check in the 2nd page: spglobal.com/spdji/en/… | |
| Oct 17 at 11:49 | comment | added | Frido | Which document(s)? In addition to level I think duration, or time spent, of being in a certain bandwidth should be incorporated in defining a regime. My impression though is that the conditions for being in a certain regime are not very rigorous and sometimes even quite arbitrary. I am not aware of a consensus on this. | |
| Oct 17 at 9:34 | history | asked | Sane | CC BY-SA 4.0 |