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What is the historical volatility ratio?

April 26, 2017Historical ratio volatility

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What is the historical volatility ratio?

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This is the ratio between two different lengths of historical volatility (for example, the ratio between 25-day and 100-day historical volatility). We use this indicator to alert us to times when short-term volatility has declined below longer-term volatility by a certain percentage threshold. These signals are often precursors to increasing volatility.