Historical Volatility-Online Calculator

Follow us on LinkedIn

Historical volatility is a prevalent statistic used by options traders and financial risk managers. Historical volatility measures the past fluctuations in the price of an underlying asset. When there is a rise in historical volatility, a security’s price will also move more than normal. At this time, there is an expectation that something will or has changed. If the historical volatility is dropping, on the other hand, it means any uncertainty has been eliminated, so things return to the way they were.

There are various types of historical volatilities such as close to close, Parkinson, Garman-KIass, Yang-Zhang, etc. We implemented the closed-to-close historical volatility in a calculator. The close-to-close historical volatility (CCHV) is calculated as follows,

historical volatility calculator online

where xi are the logarithmic returns calculated based on closing prices,  and N is the sample size.  In this example, N=22, the average number of trading days in a month.

Input

Use the dropdown menu highlighted in yellow to choose the stock.

Output

The calculator returns the following results

  • A plot of 22-day rolling historical volatility
  • A plot of the stock price
  • 1-year historical volatility

Check out other finance calculators on our website.
Let us know what calculator you want us to develop in the comment section below.

Further questions

What's your question? Ask it in the discussion forum

Have an answer to the questions below? Post it here or in the forum

LATEST NEWSIsraeli cabinet votes to shut down Al Jazeera's local operations
Israeli cabinet votes to shut down Al Jazeera's local operations
Stay up-to-date with the latest news - click here
LATEST NEWSFactbox-Details of the humanitarian crisis in Gaza
Factbox-Details of the humanitarian crisis in Gaza
Stay up-to-date with the latest news - click here
LATEST NEWSPro Research: Wall Street dissects Cisco's market dynamics
Pro Research: Wall Street dissects Cisco's market dynamics
Stay up-to-date with the latest news - click here
LATEST NEWSBe first to Fast Fortune at Juicy Stakes Casino
Be first to Fast Fortune at Juicy Stakes Casino

New slot tournament, Blackjack Quest and poker event here this month ST JOHN’S, Antigua — Wow, May. This year is going quick – almost as quick as the new poker tournament coming to Juicy Stakes Casino this week. But before we talk about that, let’s…

Stay up-to-date with the latest news - click here
LATEST NEWSHow divided is the Bank of England’s policy committee?
How divided is the Bank of England’s policy committee?

Market Questions is the FT’s guide to the week ahead

Stay up-to-date with the latest news - click here

Leave a Reply