12:03 AM
killnine
As mentioned earlier, Historical Volatility is actually a standard deviation. The standard deviation can be calculated using historical price data in terms of daily, weekly, monthly, quarterly or yearly.
Historical Volatility is then expressed in terms of annualised standard deviation of % price returns, so that it can be compared across different stocks, regardless of the stock price and period used for HV calculation.
The formula to annualise the Standard Deviation (that may be calculated using either daily, weekly, monthly, quarterly or yearly) is as follow:
Where:
HV = Historical Volatility (annualised)
Sigma = Standard Deviation for...
