Description

• Historical volatility uses historical data i.e. daily , weekly price data to measure the volatility of the market in the past
• Standard deviation is the measure used to determine volatility since they are directly proportional

Interpretation

• Helps in understanding the volatility of the stock in the past and helps in predicting how it may behave in the future

Default Parameters Used/Inputs

• Close Line
• Standard Deviation

Returns/Output

Historical volatility of the stock

Formula

HistVlt(X,R)=100*Factor*SD[X]
SD[X]=StdDev(ROC%(1),Bars)
ROC indicates Rate Of Change
where Factor is the period/year