StockSignal
Volatility Regime Shift
Story type: Situational
Three volatility signals indicate regime change: volatility regime shift is detected, ATR is expanding, and historical volatility has changed. Together these describe a transition in the stock's volatility behavior.
State
Volatility regime shift
Emergence
Transition in volatility regime. When volatility regime shift indicators are present, ATR is expanding, and historical volatility has changed significantly, the stock is transitioning from one volatility state to another. This describes a structural change in price behavior characteristics.
Limits
This story identifies volatility regime characteristics, not price direction or stability prediction. It does not predict how long the new regime will persist, indicate direction of future moves, or assess whether volatility will continue expanding. Regime shifts can reverse as quickly as they occurred.
Explanation
Each signal represents an independent observation about volatility state: Volatility Regime Shift detects transitions between volatility states—from calm to volatile or vice versa. Detection indicates the stock is changing behavioral modes. ATR Expansion measures the rate of change in average true range. Expansion indicates price swings are growing larger relative to recent history. Historical Volatility measures the standard deviation of returns. Significant changes confirm the volatility environment has shifted. When all three indicate change, they describe a volatility regime transition—a structural observation about price behavior, not a directional prediction.
Interpretation
This story identifies volatility regime characteristics, not future behavior. It does not predict price direction, indicate how long the new regime will last, or assess stability. Volatility regimes can shift multiple times and persist for varying durations.
Required Signals
volatility-regime-shift
Short-term volatility ratio relative to long-term baseline
atr-expansion
Expansion of average true range above recent historical levels
historical-volatility
Annualized standard deviation of price returns over a 20-week window