Market Volatility Reverts to its Mean
Periods a low volatility are usually followed by periods of high
volatility, and periods of high volatility are usually followed by periods of
low volatility. When a shorter-term historical volatility (HV) calculation is
one-half or less of a longer-term volatility calculation, explosive market
moves often follow as volatility reverts to its mean.
I have found the two best periods to compare are the 6-day HV reading vs.
the 100-day HV reading (6/100) and the 10-day HV vs. the 100-day HV (10/100).
–-From
The TradingMarkets.com Guide to Conquering the Trading Markets (1999 M.
Gordon Publishing Group, Malibu, Calif.).