Historical volatility

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Historical volatility

Fluctuations estimated from a historical time series.

Historical Volatility

A measure of a security's stability over a given period of time. While there are various ways to calculate it, the most common way is to compute the average deviation from the average price over the period of time one wishes to measure. The historical volatility is often compared to the implied volatility to determine if a security is overvalued or undervalued. Generally, securities with a higher historical volatility carry more risk. It is also called realized volatility or the standard deviation. See also: Volatility.
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While the cost of fuel is currently low, historic volatility suggests prices may eventually increase again.
We've come through a period of historic volatility over the last five years, and as we look into the second half of 2013 and beyond, we are, as always, pondering the opportunities and risks that lie ahead.
Historic volatility is a measure of how much the underlying stock price has moved in the past.
The geographic dispersion of shale plays reduces vulnerability to weather-induced supply disruptions, which may have contributed to historic volatility, as production from the Gulf of Mexico becomes a less significant source of overall supply.
They then surround that with a EoACAysatellite' of market-beating ideas to generate what fund managers refer to as "alpha" (out-performance relative to an asset's assumed level of risk) and "beta" (essentially, the asset's historic volatility beyond the average market trend).
Along with free charts and quotes service is the availability of technical trading indicators such as trend spotter, historic volatility, moving averages, barcharts, Bollinger bands, percent change and many more.
At the same time, ratios like Standard Deviation ( SD), the measure of the historic volatility of a portfolio, explain the fund's varying performance.
At the same time, ratios like Standard Deviation (SD), the measure of the historic volatility of a portfolio, explain the fund's varying performance.
Exhibit 1 Historic Volatility Estimates Rank (from 1 2 3 4 5 Lowest to Highest) Start Date 1/2/2002 1/3/2007 1/2/2008 11/1/2009 9/1/2008 End Date 2/9/2009 5/1/2009 5/1/2009 5/1/2009 5/1/2009 Frequency Monthly Daily Daily Daily Daily Observations 85 530 279 67 111 Standard 2.
ethanol industry remains under significant financial pressure, as the result of current economic conditions, including historic volatility in energy and in corn prices over the past year," Glauber said
Summary: Forex markets have seen historic volatility as of late, causing widespread panic in forex markets and drying up liquidity across a broad swath of asset.
Although statistics can help with measuring the historic volatility and thereby the risk of an investment, this is not a pure predictive tool and relies on the behaviour of the past being repeated in the future.

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