Bi-Modality

Thursday, May 4th, 2017 Categories: Tail Risk, United States, Volatility

US volatility has a split personality

The frequency distribution of realised volatility for US equities is bi-modal, which suggests there are two overlapping risk-regimes, rather than one continuous one. This would make the US different from the rest of the world and increase the potential for a non-linear market response to an incremental policy action by the Fed.

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