2.6.1 Historical volatility
The historical volatility is simply the standard deviation of the total return indexwithin a specific time period.
It is given by:
whereis the index total return at time andis the mean total return over period .
The historical volatility is simply the standard deviation of the total return indexwithin a specific time period.
It is given by:
whereis the index total return at time andis the mean total return over period .