Predicting market risk is easier than predicting return, as demonstrated in the first installment of this series. The caveat is that we shouldn’t conflate easier with easy. Nonetheless, a simple model of using yesterday’s return volatility proves to be a reliable forecast for today. The key question: how far into the future can we effectively forecast vol with this naïve model? The short answer: the reliability fades, quickly.
Daily Archives: August 9, 2022
Macro Briefing: 9 August 2022
* FBI searches Trump’s Mar-a-Lago home
* Consumer inflation expectations decline, NY Fed survey finds
* Small Business Optimism Index ticks up but still below 48yr average
* US housing sentiment falls to lowest level in a decade, Fannie Mae reports
* Housing inventory in US soars as homebuyers pull back
* Reducing inflation is going be challenging, says markets analyst Jim Bianco
* Public pension plans suffer worst annual performance since 2009
* 3mo/10yr US Treasury yield curve holds above zero, just barely:
