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InsightBLOGMarch 23, 20261 min read
a cleaner way to compute seasonal vol
By scalpavelli
Primary Source Material
Published via substack_scalpavelli
Friends,
Vivek
emailed me a simple question after reading yesterday’s
does revenue seasonality translate to vol seasonality?
post:
Why not just compute volatility from the daily returns within each calendar month instead of using a trailing 20-day window?
Um, well, eh. I don’t know. I guess just had...
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