Why Volatility Has to Spike

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A Coming Crash: The Law of Conservation of Financial Volatility?

 

Equity market volatility (VIX) has picked up but still pales relative to both fixed income and forex volatility. This is not that unusual when volatility is rising because it is sequential and typically migrates from forex to bonds to stocks. Equity volatility is both a derivative of volatility in these asset markets plus an extra economic volatility factor that come from the business cycle. We expect the VIX to test the 50 index. It will not fall before bond and forex volatility themselves subside.

 

 

 

See our latest published research, Global View: A Coming Crash: The Law of Conservation of Financial Volatility? – October 2022

 

 

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