## Figure 1.20. Long-Term Drivers of the Low-Volatility Regime

## Source details

**Canonical URL:** [Figure 1.20. Long-Term Drivers of the Low-Volatility Regime](https://www.imf.org/-/media/files/publications/gfsr/2017/october/chapter-1/csv-data/figure1-20.csv)

## Other formats

- [Markdown version](/-/media/files/publications/gfsr/2017/october/chapter-1/csv-data/figure1-20.csv.md)
- [Structured JSON version](/-/media/files/publications/gfsr/2017/october/chapter-1/csv-data/figure1-20.csv.json)

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### Dataset structure and scope
- Worksheet name: csv
- Row count: 63
- Column count: 25
- Main panel titles (as labeled in the dataset):
  - 1. Drivers of Declining Equity Volatility (Z-score, number of standard deviations)
  - 2. Realized Volatility of Individual Stocks (US/S&P 500 stocks, 90-day historical volatility)
  - 3. Net Income (Percent of assets, four-quarter moving averages)
  - 4. Dividends and Stock Repurchases (Percent of assets, four-quarter moving averages)
- Column group headings (as they appear):
  - Macroeconomic fundamentals
  - Corporate performance
  - Funding and liquidity conditions
  - External spillovers
  - VIX index
  - Model-fitted VIX index
  - Dummy
  - Top 50 / Bottom 300 (used for panels 2–4)

### Key numeric observations (row labeled "Average")
- Drivers of Declining Equity Volatility (Z-score, average values):
  - Macroeconomic fundamentals: 0.052423644
  - Corporate performance: -0.229243359
  - Funding and liquidity conditions: -0.223211872
  - External spillovers: -0.152637361
  - VIX index: (blank in the average row)
  - Model-fitted VIX index: -0.552668949
  - Dummy: -0.507530862
- Realized Volatility of Individual Stocks (US/S&P 500 stocks, 90-day historical volatility):
  - Date: 3/31/2010
  - Top 50: 20.61
  - Bottom 300: 21.43
- Net Income (Percent of assets, four-quarter moving averages):
  - Date: 3/31/2010
  - Top 50: 0.68
  - Bottom 300: 0.46
- Dividends and Stock Repurchases (Percent of assets, four-quarter moving averages):
  - Date: 3/31/2010
  - Top 50: 0.35
  - Bottom 300: 0.11

### Coverage notes and labeling
- The dataset organizes drivers into broad categories (macroeconomic fundamentals, corporate performance, funding and liquidity conditions, external spillovers) and includes two VIX-related series labeled "VIX index" and "Model-fitted VIX index."
- Panels 2–4 present comparisons between "Top 50" and "Bottom 300" groups, with associated dates shown in the sample row.

*Figure 1.20. Long-Term Drivers of the Low-Volatility Regime (csv worksheet, rowCount 63, columnCount 25).*

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_Source: https://www.imf.org/-/media/files/publications/gfsr/2017/october/chapter-1/csv-data/figure1-20.csv_