Timeline for How to calculate stock volatility in %?
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| Nov 23, 2021 at 8:30 | comment | added | Tomm P | whuber : Wikipedia isn't always definitive. Whether to use Black-Scholes or non logarithmic approaches depends on what you seek from your analysis. You are correct in that the logarithmic approach is the accepted norm however a major weakness of the logarithmic method is it assumes constant values for volatility, thereby doesn't consider variations in volatility over time. The original poster of the question wasn't clear on what "type" of volatility is sought. In reality a logarithmic method or a mean sd/based method are valid. | |
| Aug 25, 2011 at 19:30 | comment | added | bnaul | Huh. The definition I was familiar with was the one from the introduction: "Volatility is normally expressed in annualized terms, and it may either be an absolute number ($5) or a fraction of the mean (5%)." I'm not a finance guy by any means, though, so if you or someone else wants to give a more thorough answer then that would be welcome. | |
| Aug 25, 2011 at 19:09 | comment | added | whuber♦ | Re the edit: Your answer disagrees with the Wikipedia article: "The annualized volatility σ is the standard deviation of the instrument's yearly logarithmic returns." That's the value appearing in the Block-Scholes and other stochastic models. Multiply it by 100 to express it in percent. | |
| Aug 25, 2011 at 19:03 | history | answered | bnaul | CC BY-SA 3.0 |