Historical Volatility

Clusterstock  4 hrs ago  Comment 
The volatility we've experienced in recent weeks is nothing compared to what we witnessed 27 years ago. Here's an amazing video from that time. Martin Zweig, the legendary Wall Street analyst who passed away in February 2013, appeared on Louis...
SeekingAlpha  12 hrs ago  Comment 
By Peter Arendas: The 2nd round of Brazilian presidential elections will take place on October 26th. The opponents are the current Brazilian president Dilma Rousseff and the former Minas Gerais governor Aecio Neves. As I stated in my article a...
Bloomberg  Oct 18  Comment 
Investors Shaken as S&P 500 Reversals Ignite Volatility David Wolf, a fund manager at Fidelity Investments in Toronto, says equity spasms such as those that shook global...
SeekingAlpha  Oct 18  Comment 
By Stock Chartist: I n economics, risk is defined as volatility. Furthermore, one truth of economics is that high risk accompanies high return while low risk means lower return. Investment managers put us in a dilemma when they play on our fears...
MarketWatch  Oct 17  Comment 
The ICE U.S. dollar index finished a volatile week slightly lower Friday as investors looked ahead to data out of China, the U.S. and Europe next week.
Financial Times  Oct 17  Comment 
US stocks rally after sharp midweek volatility
New York Times  Oct 17  Comment 
A high price-earnings ratio over the last 125 years has usually been followed by years of mediocre returns.
Financial Times  Oct 17  Comment 


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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