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Calculating the Six-Month Change in the TED Spread

Article Quant Q&A · Author: qfd
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Summary

The document explains how to calculate a six-month change from a monthly TED spread series. For each month, subtract the value from six months earlier from the current value. This gives the absolute change in the spread over the six-month interval.

The answer is a direct calculation rather than an analysis of the TED spread or its financial interpretation. It assumes observations are monthly and that the series has a value available for the month six periods earlier; it does not discuss missing data, units, or whether a relative percentage change is desired.

Key ideas

  • A six-month change is the current monthly TED spread minus its value six months earlier.
  • The calculation measures an absolute spread change rather than a percentage change.
  • The method assumes a monthly series with observations six periods apart.

Tags

Fixed incomeStatistics
Full text
# calculate 6 month change in TED spread


# calculate 6 month change in TED spread












I have a basic question if someone could help me out how would I calculate the 6 month change in TED spread. I have a monthly time series of TED spreads.

## Answer by user18489 (score 1)

https://quant.stackexchange.com/a/26037

```
TED spread 6mo chg = TED Spread{t} - TED Spread{t-6}, t := month
```

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.