Country Equity Index Volatility

Previously, we saw how different country indices performed relative to their deepest drawdowns. Peak drawdowns only tell half the story. Here, we look at historical volatility. To keep things simple, we will define volatility as the standard deviation of daily returns. i.e., close-to-close volatility.

The country-ticker key can be found here.

2004 through 2018

NASDAQOMX.volatility

Year-wise

Bar plot:
NASDAQOMX.volatility.yearwise
Heat map:
NASDAQOMX.volatility.yearwise.heat

Thoughts

  1. The year 2017 was uniformly a low-volatility year. So were 2005 and 2014.
  2. Some countries, Greece (NQGRT) for example, have been extremely volatile. Some, Malaysia (NQMYT) for example, have been surprisingly less.
  3. India (NQINT) has been middle of the pack.

Code and charts on github.

Source: NASDAQOMX data from Quandl.