140: Forecasting a Volatility Tsunami with Andrew Thrasher
In this podcast episode we’re going to be talking about something that can have a huge impact on the markets and on trading strategies. It’s something that can happen very quickly and cause a lot of damage, and that is spikes in volatility.
And our special guest to discuss volatility spikes today is Andrew Thrasher, who published a research paper called ‘Forecasting a Volatility Tsunami’, which won the Charles Dow award in 2017.
Whenever the VIX is at low levels we here all about in the mainstream media, with the implication that it’s about to rise, however a low level in the VIX alone doesn’t necessarily mean volatility is going to increase, and in our chat today Andrew is going to explain why and he’s also going to share his research and the 3 key factors that can actually improve predictions of volatility spikes.
In our chat today you’ll here:
- How volatility is usually interpreted and why this common approach is unreliable and missing a key part of the picture,
- Why a low VIX reading alone is not a good predictor that volatility will rise,
- 3 key factors that can improve predictions of volatility spikes,
- Plus much more.