Historical Volatility

The Australian  26 min ago  Comment 
The sharemarket has ended a sharply volatile week of trade with a 1pc fall, heading back towards the 5000-point level.
SeekingAlpha  59 min ago  Comment 
WA Business News  1 hr ago  Comment 
Recent BNiQ data has revealed a number of large transactions by company directors, including the founder of Perth-based contractor Decmil Group and his son, chief executive Scott Criddle, who have invested a combined $1.43 million on the...
The Australian  10 hrs ago  Comment 
US stocks have limped into October, following the worst quarter for benchmark indexes since 2011.
New York Times  Oct 1  Comment 
Investors may be pulling money out of funds but, for the long term, industry players say, there is no stopping the exchange-traded fund revolution.
MarketWatch  Oct 1  Comment 
Gold futures settled lower after a volatile day of trading in the wake of the latest U.S. economic data, with much anticipation surrounding Friday’s jobs report.
Wall Street Journal  Oct 1  Comment 
Glencore shares seesawed in volatile trading as investors continued to digest the commodity group’s efforts to restore confidence in its finances amid weak commodities prices.
Financial Times  Oct 1  Comment 
Weak manufacturing figures unsettle mood


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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