Historical Volatility

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Motley Fool  5 hrs ago  Comment 
The stock market has fallen recently, but compared to history, there's plenty of room for a much more painful plunge.
Mondo Visione  6 hrs ago  Comment 
The MSCI Singapore Index (SiMSCI) futures recorded higher volatility in mid-October with the 10-day volatility gauge for the underlying index returning to September 2013 levels. The SiMSCI futures maintain a historically close correlation with...
Mondo Visione  6 hrs ago  Comment 
Eurex Exchange continues to ensure market support for its recently launched listed variance futures contract, which is based on the EURO STOXX 50, the most prominent equity index in Europe.  DRW Investments, developer of the variance conversion...
Wall Street Journal  7 hrs ago  Comment 
Political uncertainty and recent volatility in global markets have limited deal making this year in Indonesia, where buyouts of domestic companies are down by more than half from last year.
Benzinga  Oct 28  Comment 
Sony Corp (NYSE: SNE) experienced volatility Tuesday afternoon amid a report that the company has lowered projected sales volume. Nikkei reported that "for the second time this year, Sony has lowered projected sales volume in its struggling...




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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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