Table 3.
Correlations between next day returns and the standard deviations
| Period | Next day return and standard deviation | |||
|---|---|---|---|---|
| 20-day standard deviation (%) | 125-day standard deviation (%) | 250-day standard deviation (%) | 500-day standard deviation (%) | |
| (a) Correlation between next day returns and the current day standard deviation | ||||
| 1979–1999 | 2.51 | 2.20 | 1.05 | 0.86 |
| 2000–2020 | 0.05 | − 0.12 | 0.60 | 0.95 |
| (b) Correlation between next day losses and the current day standard deviation | ||||
| 1979–1999 | − 26.75 | − 20.75 | − 18.13 | − 12.64 |
| 2000–2020 | − 47.35 | − 37.57 | − 30.04 | − 22.12 |