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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Even the historical volatility could be calculated by the statistical analyze, but how many data should be involved still have not a determined answer.
Exchange options pricing with evolutionary neural-based fuzzy inference systems
It may help to segment the types of historical events that would likely bias a historical volatility estimate (being applied forward) into four categories:
New option expensing rulings spawn new options: to expense or not expense stock options is no longer the question, but new rulings have raised significant compliance questions, while simultaneously adding a new source of financial expense--two often-conflicting objectives
Therefore, when calculating the volatility for a company that has been public for only a few years, its historical volatility may not be a good proxy for future volatility.
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If volatility is random or path-dependent, and asset returns and volatilities are negatively correlated, then implied volatilities from option prices could be higher than the observed historical volatility from the underlying asset.
The Risks and Rewards of Selling Volatility
The main objective of this paper is to model the dynamic relationship between future volatility and implied and historical volatility using data from Alegria and Rodriguez [1997].
An Application of Pade Approximation to Volatility Modeling
The gauge's 30-day historical volatility rose to 45 on July 1, the highest level since December 2008, when the collapse of Lehman Brothers Holdings fueled a global equities rout.
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1386% and the historical volatility of Genmab shares calculated at 59.
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Goepfert concurs that the VIX isn't necessarily a good measure of future expectations of fear, it is much more closely aligned with recent historical volatility.
Volatility and fear plunge, but equity markets remain relatively stable
Allegro s Price component houses all pricing, forward price, implied and historical volatility, currency, and correlation data and offers enhanced visual representation of market information.
United States : Allegro Announces Enhanced Price, Position, & Risk Management for Energy Commodities

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