While the historical volatility
of an asset return is readily computed from observed asset returns and the implied volatility is computed from observed option price there may be inaccurate estimators of the volatility expected to prevail over a period of time.
[p.sub.t] is the day logarithm yield of the targeted asset, [bar.p] is the average yield, r([tau]) represents the risk-free interest rate, and [sigma]([tau]) denotes the historical volatility
of the targeted asset.
They found that the implied volatility is a better estimator of future volatility than historical volatility
, being efficient and less biased in relation to the previous studies, particularly in the period after the 1987 New York Stock Exchange crash.
(2) The data period was extended to September 30, 2005 for historical volatility
calculations, including those in Table 2 and Fig.
The experimental-sets structures the option pricing model through ENFIS using various time horizon strategies and the comparative-sets structures the option pricing model by BSG with considering the historical volatility
and implied volatility.
Traditionally, most companies have calculated historical volatility
values and used these (without much additional analysis) in their estimation of option fair value.
The historical volatility
, calculated from actual prices, has moved around considerably more.
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.
On the other hand, assume that the maximum historical volatility
of the underlying asset that has been observed over any one-month horizon is 30 percent (annualized).
One measure of risk we use throughout this article is the observed historical volatility
in revenue growth.
This paper studies the dynamic relationship between future volatility and implied and historical volatility
using data from Alegria and Rodriguez .
While companies should consider historical volatility
, this may prove difficult in the future (given the recent history of stock market fluctuations).