Preparing for a return to volatility
REAL-LIFE PROBLEMS, INNOVATIVE SOLUTIONS
Background
We can make a few simple observations about the past decade and a half's trading, by taking the US dollar index as a simple proxy for the currency markets overall, and its 23 working-day historical volatility (measured on a close–close basis) as our benchmark of how volatile the markets have actually been.
Since the summer of 1990, the highest level of historical volatility was seen on October 8, 1992 (18.74%), while the lowest occurred on October 14, 1996 (3.01%). The mean volatility
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