Historical Volatility

RECENT NEWS
Benzinga  1 hr ago  Comment 
Dow Chemical Co (NYSE: DOW) reported better-than-expected fourth-quarter results Thursday, following which its stock opened strong. Andrew Liveris, Dow Chemical CEO, was on CNBC after the declaration of results to talk about how low oil prices and...
Wall Street Journal  4 hrs ago  Comment 
Shares in the country’s lenders are driven entirely by emotion and that fearful volatility cannot be overcome until the new government’s political game becomes clear.
Forbes  5 hrs ago  Comment 
An analysis of January's market volatility and two stock picks.
Wall Street Journal  7 hrs ago  Comment 
Zimmer Holdings’ revenue fell in its fourth quarter as currency volatility weighed on its overseas businesses, but the company gave an upbeat outlook for its current quarter.
Wall Street Journal  8 hrs ago  Comment 
Stanley Black & Decker’s profit surged in the fourth quarter as restructuring costs fell and growth in emerging markets helped to offset currency volatility.
Commodity Online  Jan 29  Comment 
Short term trend likely to be very volatile but a fall in sowing area and delayed arrival of the new crop due to delayed Monsoon last year keeps overall market sentiments firm.
The Hindu Business Line  Jan 28  Comment 
The rupee hit a three-month high on Wednesday at 61.26 against the dollar before ending flat at 61.41 tracking the benchmark equity indices and a slightly volatile dollar. The domestic cu...




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Volatility refers to the tendency of prices to change unexpectedly, usually as a response to new information or changes in demand for the investment. Volatility can be defined as an investment's tendency to move up and down in price over the latest n periods.

A security with high volatility has bigger fluctuations in price compared to a security with low volatility. The more quickly a price changes up and down, the more volatile it is. As such, volatility is often used as a measure of risk.

For example: A stock whose price went up 10% yesterday and went down 25% today is more volatile than a stock which increased 2% in both days.

Historical volatility is calculated by looking at past changes in stock price. The standard deviation of percentage changes in price is used to calculate observed volatility within the considered timeframe.

Historical Volatility, which looks at the past, is distinct from Implied volatility, which represents expectations about future fluctuations in price and is calculated by looking at the prices of options on the underlying investment.

Volatility is also different from Beta, which is a measure of how the stock price reacts to changes in a broad market index, such as the S&P 500.


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