Historical Volatility

RECENT NEWS
Forbes  36 min ago  Comment 
Last week, the VIX (CBOE Volatility Index) got below 12, which is awfully low, considering we have an election coming up. Especially considering that this election promises to be wilder than the last five combined.
newratings.com  11 hrs ago  Comment 
LONDON (dpa-AFX) - Aberdeen Asset Management PLC (ADN.L), in its trading update for the nine months to June 30, reported Monday that assets under management or AuM was 301.4 billion pounds, compared to 292.8 billion pounds as of March 31. The...
Financial Times  11 hrs ago  Comment 
A sustained period of low volatility manufactured by central banks cannot disguise growing problems
The Economic Times  Jul 24  Comment 
“The improvement in India’s volatile capital share since 1991 has been dramatic and reflects the beneficial effects of progressive opening and liberalisation of financial markets,” said Saugata Bhattacharya.
Financial Times  Jul 24  Comment 
Once-staid US sector knocked by volatility and uncertainty over high dividend levels
The Economic Times  Jul 24  Comment 
The market remained volatile for most of the sessions during the week either due to quarterly results or commentaries from central banks across the globe.
SeekingAlpha  Jul 23  Comment 
The Hindu Business Line  Jul 23  Comment 
Inability to break through the resistance could keep the indices volatile
The Economic Times  Jul 23  Comment 
ETF is not as risky compared with other categories of equity instruments, since it carries a beta close to 1. It replicates the return on the benchmarks.




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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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