i'm not like other girls, they get unwanted advances in their DMs, i getpic.twitter.com/RCEQczitTl
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it'd largely depend on your MAs though; for instance today is a sleeper on SPX but I still wouldn't call this time period low vol
Whether vol is high or low is relative to history though, right? For example JGBs had 8-16% vol in the 80s and now have 1-2% vol, but they still go in and out of high/low vol regimes, it's just that the definition of high/low changed.
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Sure and that would imply you want some sort of adaptive model here for your hyper parameters like a Kalman filter or the dumbass variant I’d use (rolling window look back at percentiles)
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Markov switching smdh
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