What is the formula for Actual Volatility and Standard Deviation?

Discussion in 'Prop Firms' started by TradeWatcher, Jun 14, 2003.

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  1. Does anyone know the formula for actual volatility for a specific stock. I think it is something like:

    SqRoot of 52 or 365 or 12 (depending on the length you want). That is then divided into the (Price of the Stock/Standard Deviation (STD)).

    ex. for daily Citigroup --- 19.1/(44.10/STD)

    I do not know what the is or where to find it for a specific stocks. I have looked on the WWW but am not seeing it.

    So I guess the real question is, assuming the formula is correct, is where can I find the STD for specific stocks.
  2. jester

    jester Guest

    shouldn't this be in a different forum? Possibly the Options forum?

  3. My question was not about options but thanks to your input I will also put it in another forum as well. Perhaps more exposure is good.

    If anyone in this forum has the answer I would appreciate it.

    Thanks again,
  4. DaveN


    Yes, iVolatility is the site of choice for Historical Volatility.

    The formula for HV30 is

    Std Dev( Ln(Close/Close[1]),30) * Sqrt(250)

    or the standard deviation over a 30 day period of the logarithm of the current day's close divided by the previous day's close times the square root of 250.

    The 30 day period can be changed to a 10 day period to get HV10, and you can choose a different number for days in a year...I use 250, but others count the weekends as well and use 360 or 365.

    For trading equities, I find HV useful in comparing a dollar normalized volatility of one stock to another in setting up pairs or determining my trade size, considering my risk preferences.
  5. Magna

    Magna Administrator

    This thread has been closed as it's also in the Strategy Trading forum where it belongs.
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