## Measuring Historical Volatility

This paper by **Louis H. Ederington** (University of Oklahoma) and **Wei Guan** (University of South Florida St. Petersburg) proposes the **adjusted mean absolute deviation** as an alternative method for measuring historical volatility and provides tests of how well this method forecasts volatility, comparing it to traditional methods (standard deviation and GARCH).

The paper was first released in August 2004 and then published in Journal of Applied Finance, Vol. 16, No. 1, Spring/Summer 2006.

## PDF Download

SSRN

https://papers.ssrn.com/sol3/papers.cfm?abstract_id=926167

These free download links may no longer work:

The University of Oklahoma

https://faculty-staff.ou.edu/E/Louis.H.Ederington-1/papers/Historical_vol_paper.pdf

Financial Management Association – Journal of Applied Finance

https://www.fma.org/Journals/JAF/JAFSpSu06Issue.pdf