The New Palgrave Dictionary of Economics

2018 Edition
| Editors: Macmillan Publishers Ltd

Stock Price Volatility

  • Stephen J. Taylor
Reference work entry
DOI: https://doi.org/10.1057/978-1-349-95189-5_2162

Abstract

The volatility of a stock or stock index can be calculated either from historical prices or from the prices of option contracts. Several methods and their relative forecasting accuracy are reviewed. The most accurate methods require either very frequent price measurements or option prices for several strikes.

Keywords

ARCH models Asset price variability Black–Scholes formula Conditional volatility Forecasting Implied volatility Long memory Options Realized volatility Risk premium Smile effects Stochastic volatility models Stock price volatility Value at risk Volatility clustering 

JEL Classifications

G12 C1 C53 G13 
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Copyright information

© Macmillan Publishers Ltd. 2018

Authors and Affiliations

  • Stephen J. Taylor
    • 1
  1. 1.