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Historical Volatility: Ghid Complet pentru Evaluarea Riscului și a Volatilității Pieței
Historical Volatility: Ghid Complet pentru Evaluarea Riscului și a Volatilității Pieței Introducere În lumea tranzacționării, înțelegerea volatilității unui activ este crucială pentru gestionarea riscului și pentru planificarea strategiilor de investiții. Historical Volatility este un indicator tehnic care măsoară variația prețurilor unui activ pe o perioadă specificată, oferind o perspectivă…
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What is Historical Volatility?
Historical volatility, often abbreviated as HV, is a statistical measure that quantifies the degree of price fluctuations of a financial asset over a specific period. It’s calculated by measuring the standard deviation of the asset’s daily or weekly returns. Essentially, it provides a historical snapshot of how much an asset’s price has moved in the past.
Several relatively recent volatility estimators
To improve upon close-close standard deviation: http://www.fea.com/resources/a_estimation_of_security_price.pdf http://projecteuclid.org/DPubS/Repository/1.0/Disseminate?view=body&id=pdf_1&handle=euclid.aoap/1177005835 http://www.atmif.com/papers/range.pdf
