What Is a 'Lookback Period' in Historical Volatility Margin Models? ⎊ Path

What Is a ‘Lookback Period’ in Historical Volatility Margin Models?

The lookback period is the historical time frame over which past price data is analyzed to estimate the volatility and potential losses for margin calculation. A shorter lookback period captures recent volatility spikes but can be more procyclical, while a longer period provides a smoother, less reactive margin requirement.

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Glossar

Lookback Period

Duration ⎊ The defined duration of the lookback period directly influences the valuation of path-dependent derivatives, such as Asian options common in crypto markets.