Historical Volatility

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The Straits Times  2 hrs ago  Comment 
December 19, 2014 1:37 AM THE United States Federal Reserve gave the Singapore market and those around the region the boost they needed to stay in the black yesterday despite volatile conditions.
TheStreet.com  3 hrs ago  Comment 
NEW YORK (TheStreet) -- Shares of oil driller Nabors Industries  rose 3.18% to $11.85 in afternoon trading Thursday as oil prices remained volatile. Brent crude rallied in morning trading Thursday after the benchmark fell to a five-year low...
Canada.com  6 hrs ago  Comment 
As market volatility increases and equity returns remain lacklustre, a rash of new ETF products are advocating strategies such as 'smart beta' and 'active beta'
MarketWatch  6 hrs ago  Comment 
The number of people who applied for U.S. unemployment benefits fell by 6,000 to 289,000 in the seven days ended Dec. 13, keeping initial jobless claims at a low level typically associated with strong hiring. Economists polled by MarketWatch had...
Reuters  8 hrs ago  Comment 
Olam's $1.3 billion deal to buy rival Archer Daniels Midland's cocoa processing business may reduce liquidity in the niche cocoa bean trade, raising concerns about...
The Economic Times  11 hrs ago  Comment 
Russia's rouble remained volatile on Thursday ahead of President Vladimir Putin's end-of-year news conference at 0900 GMT. The market expects to hear support for the rouble.
Automotive World  11 hrs ago  Comment 
Expect the global automotive landscape to become increasingly uneven in 2015, says Randy Miller, EY Global Automotive & Transportation Leader The post Increasing volatility will define the global auto industry in 2015 appeared first on...
Wall Street Journal  11 hrs ago  Comment 
The Russian ruble steadied against the dollar after President Vladimir Putin cautiously endorsed the central bank’s policy and gave no gruesome forecasts at his end-of-year news conference amid a growing economic crisis.
The Hindu Business Line  11 hrs ago  Comment 
Russia’s rouble weakened against the dollar and euro in volatile trade on Thursday, reversing gains made at the market opening, before President Vladimir Putin’s end-of-year news conference. ...




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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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