Kris Sidial: Volatility forecasting models have struggled but industry recognizes multimodal volatility

Kris Sidial: Volatility forecasting models have struggled but industry recognizes multimodal volatility
Volatility models challenged by multimodality

Kris Sidial points out that most volatility forecasting models have struggled to deliver reliable results over the years. However, Sidial emphasizes that the industry has progressed by recognizing that volatility itself is multimodal, with different volatility regimes displaying distinct statistical characteristics.

Sidial previously described a constructive environment for volatility traders, highlighting ongoing trading opportunities in recent market conditions. He also made a distinction between selling volatility and accepting uncapped convexity exposure, stating they involve different types of risk in a separate analysis. These comments show Sidial's focus on volatility regime distinctions and risk management.

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