State Street develops vol regime-switching analytics

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Researchers at State Street Global Advisors (SSGA) have found that market volatility states persist for discrete periods of time before shifting to higher or lower volatility states. They have developed a system to anticipate these state changes for use in optimising the Boston-based asset management firm’s investments.

SSGA, with $663 billion in assets under management, was faced with the challenge of integrating exceptionally high or low volatility periods into its risk measurement systems

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