Historical Volatility

RECENT NEWS
Reuters  51 min ago  Comment 
An outage at news and market data provider Bloomberg LP hit financial markets around the world on Friday, prompting debt sales to be postponed and exacerbating a spike in volatility in European stocks.
Reuters  2 hrs ago  Comment 
The Group of 20 leading economies was set on Friday to warn of a heightened risk of financial volatility as the monetary policies of major central banks begin to go their separate ways.
The Hindu Business Line  9 hrs ago  Comment 
On the trail of an election in one of the country’s most volatile regions, the autonomous Bodoland Territorial Area Districts in Assam
Capital Essence's Investment Blog- 錢途集團 » Page not found  11 hrs ago  Comment 
This is Capital Essence's CEM News - Market Outlook (the technical analysis of financial markets) for April 17, 2015. ...current Market Climate is characterized by an aggressive with low volatility trading environment that had historically...
TheStreet.com  Apr 16  Comment 
NEW YORK (TheStreet) -- Ben Bernanke still has the ability to move markets. Though the former Federal Reserve chairman has passed the baton to Janet Yellen, he has a new job as senior adviser to the investment firm Citadel. Bernanke's star status...
The Australian  Apr 16  Comment 
Rising volatility in electricity markets and uncertainty over the RET have prompted IFM Investors to put Pacific Hydro on the market.
Wall Street Journal  Apr 16  Comment 
Goldman Sachs said its first-quarter profit climbed 40%, beating analysts’ expectations, as the Wall Street firm’s traders thrived on busier, more volatile markets.
Financial Times  Apr 16  Comment 
Too much volatility is harmful but too little and behaviour will not change
WA Business News  Apr 15  Comment 
The weekly sales volatility continued this week with reported sales bouncing back 23% to 624 with the increase driven by a 28% jump in house sales.
TheStreet.com  Apr 15  Comment 
NEW YORK (TheStreet) -- Oil prices were shooting higher on Wednesday, up 5% to $55.95 per barrel about an hour before the close. The commodity has now rallied almost 25% in the past month alone. Over the long term, there's still room to the...




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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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