Both using historical actual price movements or option implied volatilities, volatility
seems to be about across exercise prices.
Over the last decade, there has been considerable growth in the use of range-based volatility
models in finance (Chou, Chou, & Liu, 2010; Chou, Chou, & Liu, 2015).
As a result of this scarce yield, Singer says that "investors are selling volatility
to try to capture the premium between the implied volatility
being priced into derivative contracts and expected realized volatility
In calculating historical volatility
, one looks at the average of all results (for whatever time period is being evaluated) and then compares how much each result differs from the average of all results -- the more each result differs from the average, the greater the volatility
for the population.
In this backdrop, the objective of this paper is to empirically investigate, for the first time in a developing country context, the transmission of volatility
in money market overnight repo rate to short and long-term interest rates in the term structure.
and Growth: A Brief Theoretical Perspective
Within various demographic groups however, idiosyncratic income volatility
has exhibited some notable trends.
S&P 500 Low Volatility
Rate Response Index is designed to provide exposure to companies in the S&P 500 that exhibit both low volatility
after removing stocks that historically have performed poorly in rising rate environments.
Moreover, because recessions are rare events with no clear consensus on their likely depth and duration, often amplified by policy uncertainty, they tend to cause greater market volatility
than positive shocks.
Regression (2) advocates that the excess market return is positively related to expected volatility
and negatively related to unexpected volatility
In light of the potential for volatility
to rise, in the short term we recommend considering stocks that offer decent dividend yields (cut-off dates are largely in April-June) and have shown belowaverage volatility
over the past six months.
The study analyzes the use of managed volatility
assets, including both mutual funds and variable annuities, among asset managers, insurance companies and distributors.