Days of Excessive Volatility Per Year, 2002-2018

Data Sources: Chicago Mercantile Exchange and DTN
Data disclaimer: The estimations reported for every day correspond to the model estimations using information available up to each corresponding day


The tools presented in this section provide a visual representation of annual periods of excessive global price volatility from 2002-present.

A time period of excessive price volatility: A period of time characterized by extreme price variation (volatility) is a period of time in which we observe a large number of extreme positive returns. An extreme positive return is defined to be a return that exceeds a certain preestablished threshold. This threshold is normally taken to be a high order (95 or 99%) conditional quantile, (i.e. a value of return that is exceeded with low probability: 5 or 1%). In this model, we are using the 95% quantile.

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