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Historical Volatility |
Also found in: Medical, Wikipedia, Hutchinson | 0.04 sec. |
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Historical Volatility The past standard deviation of a security that is used in security analysis. Standard deviation measures the changes in the past price of a security the higher the standard deviation the more volatile the security. Notes: The idea behind looking at historical volatility in security analysis is that it will give you an idea of the future volatility of the security. For example, if the historical volatility of a security was high, meaning that the price varied a great deal over a period, then it might continue this volatility into the future.Historical volatility Fluctuations estimated from a historical time series. |
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? Mentioned in | ? References in periodicals archive | |
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Traditionally, most companies have calculated historical volatility values and used these (without much additional analysis) in their estimation of option fair value. Attracted by the low historical volatility of the apartment market, a flood of riskaverse capital has flowed to the sector, driving down cap rates for acquisitions and new development. These options are richly priced, to say the least; one-month historical volatility on JBLU options stands at 37. |
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Historical Volatility
