A look at the recent moves in the Nikkei 225 index:
Of note are the negative returns (shown in blue in the chart above) since May 1, with the largest being a jaw-dropping -7.32% day on May 23rd.
Volatility shown is rolling, 90-day realized. Calculations are as of 6/13/2015, executed on daily data since 12/31/2012, in JPY. Volatility as calculated is the annualized standard deviation of lognormal daily returns.
The results above were calculated using The RiskAPI Add-In, our unique software client which allows fund managers to access a whole spectrum of on-demand portfolio risk analysis calculations.
