Recession Model Update (October 2020)

Friends,

Model probabilities are stubbornly refusing to fall. If we trust these probabilities, then it appears the recovery has still not accelerated in earnest.

Current Values (as of October 7, 2020)

Turbulence Continues to Fall

Since peaking in April, the Turbulence Indicator has steadily decreased. This is a good sign, since Turbulence tends to be persistent (as discussed by Mark Kritzman and Yuanzhen Li in their paper titled “Skulls, Financial Turbulence, and Risk Management” (2010)).

It will be interesting to see if Turbulence continues to decline after next month’s election.

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Until Next Time

Terrence | terrencez.com

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