International Developed Markets Realized Volatility Streamgraph
Historical price and realized volatility data
Seasonality
This multi-factor forecast for Paypal Holdings (PYPL) is based on a weighted average of five factor-dervied forecasts.
Backtest PYPL Left-hand side y-axis orders liquidity rank of individuals chart components.
Right-hand side y-axis coordinates measure the price of IDEV.
Components Realized Volatility
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Component
Last Value
EDEN
24.52930
EFNL
20.06639
EIRL
22.06392
EIS
28.78037
ENOR
22.33956
ENZL
23.14506
EWA
24.95717
EWC
27.37899
EWD
29.88370
EWG
21.89056
EWGS
22.65229
EWH
15.00359
EWI
22.83698
EWJ
18.86765
EWK
18.44410
EWL
18.33538
EWN
29.97927
EWO
22.57747
EWP
23.27345
EWQ
23.58880
EWS
20.94318
EWU
18.50134
About Realized Volatility
Realized volatility (as derived from the square root of variance) is a measurement of the standard deviation of returns of an asset over a given time period, typically annualized.
Realized volatility can be measured many ways. The classical way of calculating realized volatility is by taking the log returns of close to close prices.
Per Euan Sinclair, “there is no uncertainty due to measurement. But there is uncertainty over whether the measure is truly representative of the underlying reality.”
The
streamgraph visualization above displays realized volatility over the previous 21 days by applying the
Yang-Zhang method of calculating realized volatility. This measurement utilizes more data points than the typical close-to-close estimator, which results in a measurement that is considered more accurate.
We measure realized volatility for each component of a particular index or ETFs in order to help understand volatility dynamics, and anomalies underneath the surface.
The streamgraph is a data visualization that enables the representation of many timeseries in an efficient manner. The
Tradewell realized volatility streamgraph shows the change in realized volatility through time across multiple datasets, displaced around a central axis (the 0-line).
The streamgraph highlights three main attributes of realized volatility:
1. The overall level of realized volatility at the index or etf level relative to history.
If you notice the streamgraph expanding and then contracting, that behavior is representative of individual component volatility expanding and contracting. The widest part of the streamgraph represents the period with the most volatility across components, while the narrowest part of the streamgraph represents the period with the least volatility across components.
2. Anomalies in individual components realized through time.
When companies have large moves, ie volatility increases significantly due to earnings, unexpected events or otherwise, the streamgraph will immediately highlight those anomalies visually — the width of an individual securities contribution to the streamgraph will widen considerably and the individual component ticker will be displayed on the streamgraph on the Date where realized volatility was highest for MSCI World ex USA Index. As volatility clusters, it is common to see the width persist after an anomalous move in a particular security.
3. The level of realized volatility of individual components relative to other components that comprise MSCI World ex USA Index.
The X-axis displays trading days by date, and the Y-axis contains the component realized volatility. The absolute distance between each line on the chart is the 21-day realized volatility for MSCI World ex USA Index.
The MSCI World ex USA Index captures large and mid cap representation in 22 of 23 developing markets across the world, excluding the United States. The index covers approximately 85% of the free float-adjusted market capitalization in each country.
