Markets stocks

Goldman: Here’s How Falling Liquidity Drives Up Volatility, By The Numbers

"We believe that changing market liquidity has a role in explaining the dislocation of volatility"...

"We believe that changing market liquidity has a role in explaining the dislocation of volatility"...
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1 comment on “Goldman: Here’s How Falling Liquidity Drives Up Volatility, By The Numbers

  1. This is common also with Dax. Implied daily range from option prices is almost always underestimating realized range. I model by my own such a range, and saw that realized volatility is a better estimator.

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