Treasury Bill Volatility v.3

I've updated the formulas I use to estimate volatility. I now take the absolute value of today's rate minus yesterday's rate and then divide by the average of the two days. It is a relatively minor change and is barely noticeable in the charts.

There are many ways to estimate volatility. I'm most interested in the daily spikes. We've been getting a lot of them starting in August of this year.

These charts show the volatility through November 7, 2007 (so it shows yesterday's rush to treasury bills as the stock market declined).





See Also:
Treasury Bill Volatility v.2