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Identifying regime changes in market volatility
- Source :
- Journal of Financial Research. Spring, 2006, Vol. 29 Issue 1, p79, 15 p.
- Publication Year :
- 2006
-
Abstract
- A casual inspection of a graph of volatility indexes indicates that volatility has undergone infrequent, but significant, shifts in its average level. Evidence collected from three distinct periods including pre-1992, 1992-1997, and post-1997 is presented which shows that the mean volatility, as well as its standard deviation, was lowest during 1992-1997.
Details
- Language :
- English
- ISSN :
- 02702592
- Volume :
- 29
- Issue :
- 1
- Database :
- Gale General OneFile
- Journal :
- Journal of Financial Research
- Publication Type :
- Academic Journal
- Accession number :
- edsgcl.145495608