Historical Volatility

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Reuters  3 hrs ago  Comment 
Market measures of expected volatility of the euro sank on Monday, pointing to a collapse in bets on a market shock from the second round of French presidential elections in two weeks' time.
The Hindu Business Line  Apr 23  Comment 
The National Commodity and Derivatives Exchange (NCDEX) has announced the launch of the rapeseed mustard oilcake futures contract. Given the considerable price volatility in rapeseed mustard, an anim...
The Hindu Business Line  Apr 23  Comment 
This multi-cap invests across the market spectrum, thus mitigating volatility risk
Wall Street Journal  Apr 21  Comment 
For investors, France’s two-round electoral system lets them shift bets, reassess polls and scout for bargains. Investors are particularly unsure about who will face off in the second round, promising a flurry of action after this...
Channel News Asia  Apr 21  Comment 
London's stock market weakened on Wednesday, extending the previous session's sharp fall triggered by a rallying pound after Britain called a snap general election, a move lawmakers comfortably backed in a parliamentary vote.




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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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