Historical Volatility

RECENT NEWS
The Economic Times  58 min ago  Comment 
The levels of 11,590 and 11625 will act as immediate resistance area for Nifty on Friday.
The Hindu Business Line  7 hrs ago  Comment 
The lead futures contract on the Multi Commodity Exchange (MCX) has been trading volatile over the last week. The contract broke above the key ₹148-
The Economic Times  8 hrs ago  Comment 
Among the 50 stocks in the Nifty index, 35 were trading in the green, while 15 were in the red.
Reuters  9 hrs ago  Comment 
Overseas buying of Asian equities in August was the highest in seven months, but analysts doubt such inflows could be sustained if the Sino-U.S. trade dispute were to escalate, notwithstanding contagion from Argentina and other volatile emerging...
Financial Times  Sep 6  Comment 
Coalition’s budget plans have intensified volatile trading for stocks and bonds
MarketWatch  Sep 4  Comment 
Technically speaking, the U.S. benchmarks are starting September against a bullish longer-term backdrop, writes Michael Ashbaugh.
Financial Times  Sep 4  Comment 
Volatility rises as investors try to gauge how low the currency can fall




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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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