If you understand the idea behind conditional heteroskedacity (GARCH, etc.), it is not that unlikely at all. Same reason I mentioned it much earlier in the thread.
You are much more likely to get wildly volatile swings around highly volatile days than under normal conditions. So the fact that you called it right (and I guessed volatility very close) is for the reasons just mentioned. However, the actual direction isn't quite as predictable.
That's why so many black monday threads didn't make much sense, since the volatility was so low during those long periods, it was not likely to expect large volatility. Under this environment, however, it is. So you should expect black/white swan calls to be more accurate under this environment.
Meaning, short term traders betting the farm on direction are going to get chopped apart (Incidentally, there is a bit more likelyhood for the swans to be black as volatility tends to correlate negative to gains).
You are much more likely to get wildly volatile swings around highly volatile days than under normal conditions. So the fact that you called it right (and I guessed volatility very close) is for the reasons just mentioned. However, the actual direction isn't quite as predictable.
That's why so many black monday threads didn't make much sense, since the volatility was so low during those long periods, it was not likely to expect large volatility. Under this environment, however, it is. So you should expect black/white swan calls to be more accurate under this environment.
Meaning, short term traders betting the farm on direction are going to get chopped apart (Incidentally, there is a bit more likelyhood for the swans to be black as volatility tends to correlate negative to gains).
