Historical Volatility

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The Times of India  4 hrs ago  Comment 
Indian market came back from the brink on global feel-good factors and improving domestic macros as it covered up losses from Black Monday, thus winding up a turbulent and intensely volatile week.
The Economic Times  8 hrs ago  Comment 
While the dollar is expected to weaken against the euro, it will strengthen against all the emerging markets as they start to pick up.
The Hindu Business Line  9 hrs ago  Comment 
The Federal Reserve on Friday left the door open to a September interest rate hike even while several US central bank officials acknowledged that turmoil in financial markets, if prolonged, could...
Wall Street Journal  Aug 28  Comment 
Universa Hedge Fund, a well-known ‘black swan’ fund, made more than $1 billion in profits in one week amid volatility.
New York Times  Aug 28  Comment 
Stock market volatility could cause the Fed to hesitate, the central bank’s vice chairman said in a CNBC interview, but only if it persisted.
The Economist  Aug 28  Comment 
HOW big was China’s stockmarket crash? Dubbed “Black Monday”, August 24th ended with Chinese equities down 8.5%, wiping out hundreds of billions of dollars in market capitalisation. Like many things about China, this sounds massive. But is a...
Clusterstock  Aug 28  Comment 
St. Louis Fed president James Bullard was on Bloomberg TV Friday morning and the most important part of his interview didn't make it on the air.  Bullard spoke with Bloomberg TV from the Kansas City Fed's Jackson Hole symposium Friday morning,...
Financial Times  Aug 28  Comment 
When QE tide finally recedes, distressed debt skills will be relevant again
Wall Street Journal  Aug 28  Comment 
U.S. stocks closed little changed Friday, notching gains for the week in a deceptively calm end to one of the most volatile periods in years for global markets.




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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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