Thursday, October 7, 2010

Robert Engle’s FT lectures on volatility, part 5: global financial volatility

This is the final installment of my notes on Robert Engle's FT lectures. As I wrote earlier, the transcripts of these mini-lectures are available on the FT website.


Global volatility over time is very similar to S&P volatility. Some more detailed findings from Engle’s study:

The larger the stock market (i.e. the more companies listed) the lower the volatility.

The faster the GDP is growing, the lower the volatility. When GNP is declining, the volatility will rise.

When you have high inflation rates you tend to have high volatility. When there’s a lot of fluctuation in short-term interest rates or short-term real output this macro economic volatility contributes to financial market volatility.
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2 comments:

  1. Bill LubyOctober 8, 2010 at 2:42 PM

    An excellent series. Thanks for posting, Brenda. FYI, I did a little digging and was able to locate links to each of the original videos and have incorporated these into a post at http://vixandmore.blogspot.com/2010/10/robert-engles-ft-lectures-on-volatility.html

    Cheers and thanks again for all you do,

    -Bill

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  2. Brenda JubinOctober 8, 2010 at 3:12 PM

    Thanks very much for your kind words on Vix and More, one of my few must-go-to blogs. I'm delighted that you managed to unearth the links to the videos.

    Brenda

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