What Is Historical Volatility
Also realized volatility, or HV. Statistic measuring volatility of an asset’s price in a past period (as opposed to future volatility, which is forward looking, and implied volatility, which is the volatility implied in option prices).
The length of period over which it is measured is a parameter to HV calculation – popular lengths are 20 or 21 trading days (one month), 63 trading days (one quarter) or 252 trading days (one year).
There are several methods to calculate historical volatility. By far the most common is standard deviation of logarithmic returns.
Formulas and Calculations
Historical Volatility Calculation – what historical volatility is mathematically, how to calculate it step-by-step using the most common method – the standard deviation of logarithmic returns, and how to annualize volatility.
How to Calculate Historical Volatility in Excel – detailed Excel tutorial.
Historical Volatility Calculator – an Excel calculator of historical volatility using the common method or another popular method – non-centered or zero mean historical volatility. The PDF Guide explains historical volatility calculation, the different methods, use, and interpretations in greater detail.
Historical Volatility Examples
Historical Volatility of Apple Stock (AAPL) – here, on the example of Apple stock, you can see an example of historical volatility with charts and discussion of remarkable highs and lows and how they relate to developments in the markets.