Realized Equity Volatility Is Creeping Higher

Equity volatility looks like it made a low last fall. The 20-day moving average of the standard deviation of daily price changes for the MSCI World Index made a low on September 18th, 2014. Since that day, the average standard deviation for the MSCI World Index has increased by over 80%. However, from a historical perspective realized volatility is still relatively restrained.











We have a noticed a pickup in volatility over the past 15 trading days in the developed markets. In the tables below, we look at the 20-day moving average of the standard deviation of daily price changes sorted by country index. The overall theme in the developed markets is that volatility has risen (cell color has moved from red to green). The exception is Israel, where volatility has decreased over the past 15 trading days. The same goes for Australia but to a lesser extent. Portugal and Canada have had the highest volatility of late while Belgium and Singapore have had the lowest.

Developed Markets Realized 20-day Volatility by Country

 

In the emerging markets, in general volatility has also increased over the past 15 trading days but not quite as uniform as in the developed markets. China, UAE, Colombia and Qatar have experienced decreases in realized volatility. Greece and Russia, not surprisingly, have had the highest realized volatility. Meanwhile, the Philippines and Taiwan have had the lowest. 

Emerging Markets Realized 20-day Volatility by Country