Oct

19

Update on 10d non-overlapping daily stdev of DJIA: The recent 10d daily (cls-cls) stdev is 5.7%, which was only exceeded in 1987 and during the depression (see attachment).

Here are the other cases with 10d sdev > 4%, the dates of which seem to make it hard to argue that the mechanisms of modern finance reduce volatility:

Date    STDEV10    nxt 10 ret
10/27/87    0.089     0.017
11/14/29    0.075     0.112
10/14/31    0.071     0.033
03/21/33    0.060    -0.026
10/29/29    0.052    -0.056
08/16/32    0.051     0.078
02/25/32    0.047     0.051
09/28/32    0.045    -0.187
07/28/33    0.045     0.031
06/22/31    0.042     0.048
12/28/31    0.042     0.075
01/12/32    0.041     0.005
09/29/31    0.041    -0.025
06/20/32    0.041    -0.091


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