I posted this in the trading section, but did not get a good responce. Does anyone know of a good site to get historical volitilty from. I want to find the Vo. for the stocks that make up the SP500. Hopefully, going back 25 years of daily price changes. Thanks JJ
Best asnwer I can give you is to subscribe to a data provider that looks back to the period you need to plumb and subscribe to a charting package that has a function called hist vol. This way you can look at stock x years back and using the package get the 20,30,60 ,200 etc day historical vol for that instrument. Linnsoft.com, neoticker.com and ensign.com all have functions that calculate HV. Also some Excel addons that are free to esignal might have HV funtions whrein you supply it with prices and it calculates HV for you.
Hope this helps.