Historical Volatility

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newratings.com  8 hrs ago  Comment 
CANBERA (dpa-AFX) - Asian stock markets are mostly lower on Thursday after the U.S. Federal Reserve Chair Janet Yellen's dovish comments failed to bolster investor sentiment and as crude oil prices remained volatile. Markets in Hong Kong...
The Australian  12 hrs ago  Comment 
APRA chair Wayne Byres says Australia’s financial system is “fundamentally sound” despite recent market volatility.
The Australian  Feb 10  Comment 
Capital raisings by the big banks and volatility-inspired rises in trading activity boost ASX first-half profit.
Reuters  Feb 10  Comment 
The Federal Reserve is unlikely to reverse its plan to raise interest rates further this year, but tighter credit markets, volatile financial markets, and uncertainty over Chinese economic growth have raised risks to the U.S. economy, Fed Chair...
Reuters  Feb 10  Comment 
Private equity firm Carlyle Group LP unveiled a $200 million share buyback plan on Wednesday as it posted weaker-than-expected fourth-quarter earnings amid volatile...
Clusterstock  Feb 10  Comment 
By Jacob Gronholt-Pedersen SINGAPORE (Reuters) - Crude oil prices pushed higher on Wednesday after Iran said it was open to cooperation with Saudi Arabia, partly recovering from an 8 percent fall in the previous session led by concerns over...




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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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