Historical Volatility

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Market Intelligence Center  4 hrs ago  Comment 
U.S. stocks are falling this morning after a doctor in New York city was diagnosed with Ebola. The S&P 500 is down 0.33% and the Dow has dropped 0.23%. Asian markets were mixed on Friday as Japanese stocks led the gainers. The Nikkei rose 1.01%...
Financial Times  8 hrs ago  Comment 
Chemical producer expects market to remain volatile and challenging
Wall Street Journal  Oct 24  Comment 
Japanese stocks snapped a four-week losing streak, leading a rebound in Asian markets, as the dollar regained strength against the yen and global volatility eased.
guardian.co.uk  Oct 23  Comment 
The sudden subsidence in Londons housing market is bound to have a knock-on effect on the estate agencys profits The madness of London house prices has nothing on the madness of those investors who in February were paying 380p for shares in...
Yahoo  Oct 23  Comment 
Market volatility likely to make a return in 2014.
TheStreet.com  Oct 23  Comment 
NEW YORK (TheStreet) -- Amazon shares tanked Thursday after hours, when it post a bigger-than-expected loss. It has been one of the most volatile stocks so far in 2014. Following the company'safourth-quarter 2013 earnings report on Jan. 30,...
Resource Investor  Oct 23  Comment 
In this interview with The Energy Report, Credit Suisse's John Edwards suggests that midstream master limited partnerships, while they have been volatile of late, are fundamentally stable business models, and have less exposure to volatility than...




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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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