Seasonal vol patterns?

Discussion in 'Options' started by aid1961, Jun 13, 2005.

  1. Trajan


    Well, at least I was able to write a program in Matlab which automatically loads data from yahoo and then calculates month HV using close/close. I also created dummy variables for each month and ran it using a simple ols for XOM. The only month which was signifcant at even the 90% level was June. It was negative. I did the same thing in HAL and the same month was negative and was signficant at the same level.

    I'll have to do some more research on this and use a heteroskadistic model.
    #11     Jun 19, 2005
  2. okresik


    So did you fellas ever do anything with this whole volatility study?

    I did the analysis on daily Dow data back to 1900 and found a reliable huge rise in volatility from September - November.

    So I'm guessing if you did the analysis and then traded the results, you would have made a bundle in the last few months?
    #12     Dec 30, 2008