{"id":2035821,"date":"2015-10-09T11:54:37","date_gmt":"2015-10-09T06:24:37","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?p=2035821"},"modified":"2015-10-09T12:23:24","modified_gmt":"2015-10-09T06:53:24","slug":"nifty-volatility-historical-perspective","status":"publish","type":"post","link":"https:\/\/stockviz.biz\/index.php\/2015\/10\/09\/nifty-volatility-historical-perspective\/","title":{"rendered":"NIFTY Volatility, Historical Perspective"},"content":{"rendered":"

Was 2014 an anomaly?<\/h3>\n

Here’s a density plot of NIFTY volatility across 10-, 20-, 30-, and 50-day periods:<\/p>\n

\"NIFTY.volatility.density.2014\"<\/a><\/p>\n

And here’s how it was in 2004 (10-years ago):<\/p>\n

\"NIFTY.volatility.density.2004\"<\/a><\/p>\n

For those of who argue that the introduction of the pre-open auction call in 2010\"Gaps<\/a><\/sup> skews these results, here’s how 2011 looked like:<\/p>\n

\"NIFTY.volatility.density.2011\"<\/a><\/p>\n

The unprecedented absence of a second “hump” in the volatility density plot for 2014 should give pause to investors looking for a repeat of 2014 anytime soon.<\/p>\n

Reversion to higher volatility?<\/h3>\n

If you look at the 50-day volatility over different time-periods, you can observe how volatile volatility is:<\/p>\n

\"NIFTY.volatility.density.50\"<\/a><\/p>\n

This year’s observed volatility is closer to last-year’s than to its long-term mean. Here’s how 2015 has panned out so far:<\/p>\n

\"NIFTY.volatility.density.2015\"<\/a><\/p>\n

We should expect higher volatility as the initial bull-run wears off and volatility reverts. This will have a ripple effect on pretty much every investment\/trading strategy.<\/p>\n

Appendix<\/h3>\n

Year-wise NIFTY volatility density plots (pdf<\/a>)<\/p>\n","protected":false},"excerpt":{"rendered":"

Was 2014 an anomaly? Here’s a density plot of NIFTY volatility across 10-, 20-, 30-, and 50-day periods: And here’s how it was in 2004 (10-years ago): For those of who argue that the introduction of the pre-open auction call in 2010 skews these results, here’s how 2011 looked like: The unprecedented absence of a … <\/p>\n","protected":false},"author":2,"featured_media":2035931,"comment_status":"closed","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"footnotes":""},"categories":[3471,9],"tags":[3391,1150],"class_list":["post-2035821","post","type-post","status-publish","format-standard","has-post-thumbnail","hentry","category-investing-insight","category-your-money","tag-nifty","tag-volatility","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2035821","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/2"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=2035821"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/posts\/2035821\/revisions"}],"wp:featuredmedia":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media\/2035931"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=2035821"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/categories?post=2035821"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/tags?post=2035821"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}