Historical Volatility

RECENT NEWS
MarketWatch  25 min ago  Comment 
A volatile oil play popular with millennial investors found new life Thursday, with two new exchange-traded notes announced just as the originals were delisted.
The Australian  7 hrs ago  Comment 
The iron ore price has inched lower, as analysts warn of the effects of increased volatility in futures markets.
The Economic Times  10 hrs ago  Comment 
Tata Chemicals had stated that its European operations face key risks related to volatility of exchange rates and energy costs, and increasingly stringent environmental EU norms.
Benzinga  11 hrs ago  Comment 
Even as the Dow Jones Industrial Average (DJIA) set its 12th all-time high since the election Wednesday, fear seemed to creep back into the market, a bit of a puzzler. Bond prices rose, and VIX, which measures market volatility, also...
Agrimoney.com  Dec 8  Comment 
A shift in policy by Brazil's state-owned energy company potentially drive sugar markets, Fitch Ratings says
MarketWatch  Dec 8  Comment 
U.S. stock investors now face increasing volatility and dismal prospective 10-year returns, writes Brett Arends.
The Economic Times  Dec 8  Comment 
High dividend-yielding stocks have lower volatility, which makes them a perfect fit for a portfolio in times of volatility in stocks.
Financial Times  Dec 8  Comment 
Wall Street climbs to fresh record highs




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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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