Oct
19
The Mother of all Swans, from Kim Zussman
October 19, 2008 |
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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