Thursday, January 08, 2009
VIX, volatility and risk
Don Fishback looks at the VIX index and the volatility that is implied and compares the two. He finds that the market is less volatile than the index would imply. He finds that the S&P 500 is within 1 standard deviation of its daily return for 85% of the time rather than the 68% that would be suggested by a normal curve.
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