Fixture Premium Volatility Note
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Premium Research Body
The full article body includes implementation details that should be protected for non-members.
- Estimate rolling realized volatility.
- Classify market regimes.
- Allocate only when realized volatility is below the stress threshold.
| Regime | Allocation | Rationale |
|---|---|---|
| Calm | 100% | Full exposure |
| Transition | 50% | Reduced risk |
| Stress | 0% | Capital preservation |
vol <- runSD(returns, n = 63)
regime <- ifelse(vol > stress_threshold, "stress", "risk_on")The premium body is intentionally synthetic and exists only for QA.