Stock Price Volatility
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.
KeywordsARCH 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 ClassificationsG12 C1 C53 G13
- Taylor, S.J. 2005. Asset price dynamics, volatility, and prediction. Princeton: Princeton University Press.Google Scholar