Even the historical volatility
could be calculated by the statistical analyze, but how many data should be involved still have not a determined answer.
It may help to segment the types of historical events that would likely bias a historical volatility
estimate (being applied forward) into four categories:
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.
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 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 .
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.
1386% and the historical volatility
of Genmab shares calculated at 59.
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
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.