What Is Historical Volatility?

Historical volatility is based on past statistical analysis. Assuming the future is an extension of the past, using historical methods to estimate volatility is similar to estimating the standard deviation of the underlying asset return series.

Historical volatility

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Historical volatility is based on past statistical analysis. Assuming the future is an extension of the past, use historical methods to estimate

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Let's calculate the history of the stock

First obtain the price of the underlying security from the market for a fixed period of time (usually the daily closing price or average price); then, for each period of time, find the stock price at the end of the time period and the stock price at the end of the previous time period The natural logarithm of the ratio; then, find the standard deviation of these logarithmic values, and then multiply by the square root of the number of periods included in the year to get the historical volatility. Calculated by this method and adjusted to a certain degree, the fluctuation rate of Guodian Power's warrants a year before the listing is assumed to be 35% (a total of 242 trading days from July 13, 2005 to July 14, 2006) The corresponding closing price is adjusted as an observation sample). Many market statistics software will reveal the historical volatility of securities, and investors generally do not need to calculate it themselves.