How can I identify periods that are marked as turbulent after exporting the turbulence index data (time series) from the Windham Software into Excel?

**Answer**

First, determine the turbulent threshold value by calculating the chi-squared score using the following equation in Excel

```
=CHIINV(probability, number of assets)
```

The probability parameter is the same value as specified as the Turbulent Threshold in the risk estimation screen of the Windham Software. The number of assets is equivalent to the number of instruments selected in the Windham Software case file.

The turbulence index values that are strictly greater than the calculated chi-squared score are marked as turbulent periods.

Once these turbulent periods are identified they become the sample for estimating standard deviation and correlation.

**Related Articles**

- Volatility for Turbulent Periods
- Chow, G., Jacquier, E., Kritzman, M., and Lowry, K., Optimal Portfolios in Good Times and Bad, Financial Analysts Journal, May/June 1999

Category:Understanding the Software -> Turbulence

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