Historical volatility

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Historical volatility

Fluctuations estimated from a historical time series.
Copyright © 2012, Campbell R. Harvey. All Rights Reserved.

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.
Farlex Financial Dictionary. © 2012 Farlex, Inc. All Rights Reserved
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The total of new warrants granted have a combined market value of DKK8,754,300 calculated on the basis of the Black-Scholes model, including a four-year historic volatility of 43.0%, a four-year risk-free interest rate of a negative 0.59% and a share price of DKK138.60.
As a result of historic volatility, which has rankled lawmakers, the Board of Revenue Estimates now assumes no annual capital gains in its revenue estimates.
Fitch excludes the impact of the conversion of CEMEX's convertible notes into equity from its base case due to the historic volatility of the company's share price.
Loftier office location may be one element that nudges money managers to take unreasonable risks, whether during the (https://theconversation.com/us/topics/subprime-crisis-13708) subprime mortgage crisis in 2008, (https://www.bloomberg.com/view/articles/2017-11-20/bitcoin-has-an-unusual-relationship-with-volatility) historic volatility in the cybercurrency market  or in the (http://money.cnn.com/2018/01/16/investing/dow-26000-stocks-wall-street/index.html) record stock market surge  that ended in January.
Whilst the recent dramatic fall in oil prices has provided some relief by helping to reduce production costs in some sectors using oil-fired production processes, the historic volatility of the oil markets means that permanent low prices should not be taken for granted.
Illustration #2 with a calculated planned premium using 5.18 percent as the derived crediting rate from the Historic Volatility Calculator: "Using a crediting rate assumption of 5.18 percent, which is expected to compensate for the volatility of returns in your chosen Index, we initially estimate a planned premium of $8,500 to adequately fund this policy for your entire life.
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.

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