Who will uncover the terrible secret October volatility?
MarkHulbert, a columnist for MarketWatch, committed
interesting discovery. Now he is trying
set them to explain the strange
law, and we are just seeing
the course of his reasoning.
"extraordinary
volatility of the stock market last
week - only flowers. indices walked
Who in the woods, who for firewood, and horse racing
It was very significant. Those investors
who love the quiet days are on
markets, October will not please: expected
a serious spike in volatility.
simple
illustration: look at the indicator
the volatility of the VIX, starting
since 1986, over the past 30 years. I do not
particularly interested in the absolute value
this indicator: instead I figure
its relative importance: the ratio
the average value of the VIX
months to the average of the previous
months. That is, we get a kind
marker "volatility of volatility."
Over the past thirty years, the ratio of
October to September averages
12%. This means that even though
September is itself one of the most
volatile months of the year - October all
still gives us a VIX level of
12% higher!
It is not very
OK, because the average ratio
the remaining months of each other close
to zero! With all of this, this "abnormality"
October is confirmed by statistical
calculations - that is, the data are representative.
Why is October
It has such a high volatility?
I can not explain
this moment. Unequivocal answer stride
not invented. There is an assumption,
that the unusual volatility in October
caused by some extraordinary
events - a disaster in 1987 and the collapse of
2008's market. However, when I eliminated
the two of October because of the picture -
extraordinary volatility of the rest
Octobers still remained in place.
In this way,
explain the mysterious fact, I can not. But
You, dear investor, is still on
Just in case, fasten the strap
Safety and Securely:
quite possibly, very soon the markets
will fly in an area of more October
turbulence!"
Mark Hulbert. Translation - Anomalia
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