Sorry for the delay in replying, Johnson, your nightly check for a reply, since August 2004, is appreciated I am sure by Joe.Does anyone know where I can find stats on volatility?
Thanks systematic.Crikey, I hope the OP wasn't holding their breath!
Just an addition, as I was recently reading a study using the VIX (which is just one type of volatility measure) in simple models (or systems) in an "on/off" manner with great success.
I see a lot of people these days talking about "going to cash" type systems (in my opinion, the appeal has a lot to do with the GFC still being felt), and why not? Worth exploring.....
Whilst I'm undecided about using such tools as, "sell the portfolio" indicators, I am interested in using them as "permission to buy" indicators.