What does this mean?

Installations & Python Packages
1

Course Name: Short Selling in Trading, Section No: 7, Unit No: 14, Unit type: Notebook

In this notebook we can find the following:

  1. Volatility: ...

 Here, we use a rolling 3 month standard deviation. 3 months out is where the most liquid duration in the vol space.

What does the bold sentence mean?

2

Hello Daniel,



When you are looking for a change in regime, you have to know how far or near you should go. And 3 months is kept as a rolling window because most liquidity action will be captured in the last three months.



Thanks.