Volatility

Volatility - Properties of volatility useful for trading by...

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Properties of volatility useful for trading by Dr. Fernando Diz Syracuse University
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Properties of Volatility useful for Trading 1.  Persistence   a high volatility day tends to be followed  by another high volatility day and that  a low volatility day tends to be followed by  a low volatility day.
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Properties of Volatility useful for Trading Another way of defining persistence is that  when volatility starts moving in one  direction, it keeps moving in that direction. How can we measure persistence? The degree of persistence in volatility can be measured by its autocorrelation.
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Properties of Volatility useful for Trading Figure 1 Autocorrelation of COMEX Gold Daily Volatility for 1994-1996 -0.15 -0.1 -0.05 0 0.05 0.1 0.15 0.2 0.25 0.3 0.35 0.4 Days
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2.  Mean-Reversion is its tendency to oscillate around an average level . When volatility gets too far away from
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This note was uploaded on 02/09/2010 for the course FIN 459 taught by Professor Yildary during the Spring '07 term at Syracuse.

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Volatility - Properties of volatility useful for trading by...

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