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Volatility for Turbulent Periods

How is volatility calculated for a turbulent period?

Turbulent periods are identified as the statistically unusual asset movements within a specified date range. We calculate the multivariate vector distance to identify these periods. These periods are usually marked by large asset movements (volatility) and/or unusual correlation (for example, when non-correlated assets become correlated).

Related Articles

  1. Identifying Turbulent Periods
  2. 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