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New Forecast: U.S. - S&P 500 Volatility
Tuesday, 07 Aug 2012 17:20 ET
By Sara Kline
Summary
August 2012 -- The Moody's Analytics U.S. macro forecast now includes a measure of S&P 500 volatility.
Detail

The historical basis for this new forecast variable, FSPVOL.US, is a quarterly average of the 30-day moving average of the standard deviation of the percent change in the Standard & Poor's 500 price index daily close.  Other drivers include financial market and consumer confidence indicators.

FSPVOL.US is an alternative to, and mirrors the movements of, the CBOE VIX.

 

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SourceMoody's Analytics (ECCA)
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