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HandWiki. Volatility. Encyclopedia. Available online: https://encyclopedia.pub/entry/31715 (accessed on 20 September 2026).
HandWiki. Volatility. Encyclopedia. Available at: https://encyclopedia.pub/entry/31715. Accessed September 20, 2026.
HandWiki. "Volatility" Encyclopedia, https://encyclopedia.pub/entry/31715 (accessed September 20, 2026).
HandWiki. (2022, October 28). Volatility. In Encyclopedia. https://encyclopedia.pub/entry/31715
HandWiki. "Volatility." Encyclopedia. Web. 28 October, 2022.
Volatility
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The content is sourced from: https://handwiki.org/wiki/Finance:Volatility

In finance, volatility (usually denoted by σ) is the degree of variation of a trading price series over time, usually measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option).

volatility time series finance

References

  1. "Levy distribution". wilmottwiki.com. http://www.wilmottwiki.com/wiki/index.php?title=Levy_distribution. 
  3. Roll, R. (1984): "A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market", Journal of Finance 39 (4), 1127–1139
  4. Glosten, L. R. and P. R. Milgrom (1985): "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders", Journal of Financial Economics 14 (1), 71–100
  5. Derman, E., Iraj Kani (1994). "Riding on a Smile." RISK, 7(2) Feb.1994, pp. 139–145, pp. 32–39.. Risk. http://www.ederman.com/new/docs/gs-volatility_smile.pdf. Retrieved 2007-06-01. 
  6. "Volatility". wilmottwiki.com. http://www.wilmottwiki.com/wiki/index.php?title=Volatility. 
  7. "Taking Advantage Of Volatility Spikes With Credit Spreads". http://www.investopedia.com/articles/optioninvestor/10/volatility-spikes-credit-spreads.asp. 
  8. Müller, Ulrich A.; Dacorogna, Michel M.; Olsen, Richard B.; Pictet, Olivier V.; Schwarz, Matthias; Morgenegg, Claude (1990-12-01). "Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis" (in en). Journal of Banking & Finance 14 (6): 1189–1208. doi:10.1016/0378-4266(90)90009-Q. ISSN 0378-4266.  https://dx.doi.org/10.1016%2F0378-4266%2890%2990009-Q
  9. Petrov, Vladimir; Golub, Anton; Olsen, Richard (June 2019). "Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time" (in en). Journal of Risk and Financial Management 12 (2): 54. doi:10.3390/jrfm12020054.  https://dx.doi.org/10.3390%2Fjrfm12020054
  10. Muller, Ulrich A.; Dacorogna, Michel; Dave, Rakhal D.; Olsen, Richard; Pictet, Olivier V.; von Weizsäcker, Jakob (1997). "Volatilities of different time resolutions -- Analyzing the dynamics of market components". Journal of Empirical Finance 4 (2–3): 213–239. doi:10.1016/S0927-5398(97)00007-8. ISSN 0927-5398. https://econpapers.repec.org/article/eeeempfin/v_3a4_3ay_3a1997_3ai_3a2-3_3ap_3a213-239.htm. 
  11. Sarkissian, Jack (2016). Express Measurement of Market Volatility Using Ergodicity Concept. 
  12. Petrov, Vladimir; Golub, Anton; Olsen, Richard (June 2019). "Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time" (in en). Journal of Risk and Financial Management 12 (2): 54. doi:10.3390/jrfm12020054.  https://dx.doi.org/10.3390%2Fjrfm12020054
  13. Babak Mahdavi Damghani; Andrew Kos (2013). De-arbitraging with a weak smile. Wilmott. http://www.readcube.com/articles/10.1002/wilm.10201?locale=en
  14. Cumby, R.; Figlewski, S.; Hasbrouck, J. (1993). "Forecasting Volatility and Correlations with EGARCH models". Journal of Derivatives 1 (2): 51–63. doi:10.3905/jod.1993.407877.  https://dx.doi.org/10.3905%2Fjod.1993.407877
  15. Jorion, P. (1995). "Predicting Volatility in Foreign Exchange Market". Journal of Finance 50 (2): 507–528. doi:10.1111/j.1540-6261.1995.tb04793.x.  https://dx.doi.org/10.1111%2Fj.1540-6261.1995.tb04793.x
  16. Brooks, Chris; Persand, Gita (2003). "Volatility forecasting for risk management". Journal of Forecasting 22 (1): 1–22. doi:10.1002/for.841. ISSN 1099-131X.  https://dx.doi.org/10.1002%2Ffor.841
  17. Andersen, Torben G.; Bollerslev, Tim (1998). "Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecasts". International Economic Review 39 (4): 885–905. doi:10.2307/2527343.  https://dx.doi.org/10.2307%2F2527343
  18. Goldstein, Daniel and Taleb, Nassim, (28 March 2007) "We Don't Quite Know What We are Talking About When We Talk About Volatility". Journal of Portfolio Management 33 (4), 2007. https://ssrn.com/abstract=970480
  19. Derman, Emanuel (2011): Models.Behaving.Badly: Why Confusing Illusion With Reality Can Lead to Disaster, on Wall Street and in Life”, Ed. Free Press.
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