Quality: 90/100vv2calculation-framework
Coefficient of variation methodology for rate volatility over a window.
Definition
Volatility index uses coefficient of variation (stdev/mean) of monthly rates over a consistent window.
Steps
- Filter to window (e.g. last 5 years monthly).
- Compute mean and standard deviation.
- volatilityPct = (stdev / mean) * 100.
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