Historical Volatility

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The Hindu Business Line  Feb 17  Comment 
RBI needs to ensure that the hard earned gains with regard to macro-economic stability is maintained and is able to withstand global financial volatility, said Governor Urjit Patel in an interview to...
Reuters  Feb 17  Comment 
The RBI needs to ensure that the hard earned gains with regard to macro-economic stability are maintained and able to withstand global financial volatility, said Governor Urjit Patel in an interview to CNBC-TV18 news channel.
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Forbes  Feb 15  Comment 
Ernesto Ramos: The BMO Low Volatility Equity Fund’s investment approach centers on the fact that lower-risk stocks generally do not underperform higher-risk stocks. They tend to outperform over the longer term and this is also referred to as the...
Benzinga  Feb 15  Comment 
Of life's many fields of endeavor, financial markets are among the most fertile grounds for the flawed logic that the longer something behaves in a particular way, the more likely it is that the trend will reverse. That is interesting because...
Financial Times  Feb 15  Comment 
Dairy group expects squeeze from higher milk prices and ‘volatile’ economic conditions
Yahoo  Feb 15  Comment 
"I think our 3 percent revenue guidance reflects just a cautious outlook toward the macros globally, as well as a reflection of what is a more volatile world," Chief Financial Officer Hugh Johnston said on a call with analysts. Johnston's comments...




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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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