Volatility persistence describes how the magnitude of market changes can remain elevated or subdued across nearby periods. A large move may indicate that uncertainty and trading activity are still high even if it does not determine the direction of the next move.
Trading rules can use a prior movement threshold as a signal that a volatile regime is active. The relationship must be tested carefully because persistence can vary by market, interval and event, and transaction costs can erase a small statistical advantage.
Acronyms and aliases
persistent volatility variant
Related terms
Frequently asked questions
Does volatility persistence predict market direction?
Not by itself. It concerns the likely size or intensity of movement, while direction requires a separate signal or assumption.
How is volatility persistence used in a strategy?
A strategy may trade only after a prior move exceeds a threshold, treating that move as evidence of an active volatility regime.
