Figure 3 Extension

Extended sample through the latest available month
Extended-sample version of Figure 3. Strip-side volatility is materially elevated at all holding periods and does not converge below market volatility even at the 36-month horizon, indicating persistent structural instability in post-2022 strip price estimates.
Figure 3 Extension

Extended Annualized Volatility by Holding Period (%)

holding_period std_strip_rf std_mkt_rf std_strip_2y std_mkt_10y
1 66.489038 16.068482 66.416491 18.221772
6 52.335830 16.683426 52.586936 19.898035
12 47.560008 17.295174 47.977858 20.067701
18 38.768719 17.373737 39.436860 20.090575
24 34.293685 17.174797 35.196404 19.875659
30 30.700925 16.424139 31.932028 18.979341
36 28.681181 15.925994 30.052840 18.468808

Notes

Market-side volatility remains broadly stable relative to the paper sample.

The elevated strip volatility curve confirms that late-sample instability is structural rather than isolated.