Paul wrote: > In today's world, the high's and lows are just more > reduced (for those who live in the core countries).
I don't know how significant the correlation is between the interest and profit rates and how related their volatilies are but in 1997 I ran a statistical study on the US interest rates from 1980 to 1997. Basically, I took a number of key US rates, like the 2 and 10 years rates and ran an I-GARCH as part of a larger project. Volatilies almost monotonically came down in this period. On the other hand, my intuition (unbelievable, I used that bloody word that I hate) tells me that stock return volatilies increased from earlier periods. Best, Sabri
