Historical Volatility

is the actual volatility based on the close prices over a specified period and is expressed as an annualized percentage. It is also known as Statistical Volatility.

A 21 day HV value of 20 indicates that based on the 21 day period, prices moved by up to an equivalent annualized value of 20%.

Calculation

1. accumulate Log(Price / Price-1)

2. divide the accumulation by Period to give the Average Log Ratio (ALR)

3. accumulate (Log(Price / Price-1) - ALR) * (Log(Price / Price-1) - ALR)

4. divide by Period to give the Standard Deviation

5. multiply by Square Root of 260 to annualize

6. multiple by 100.

260 is used on this site to annualize. Other applications may vary this slightly.

Related Indicators

Standard Deviation

Custom Dates

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Symbol Id Name Exchange Close Price Trade Date
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AAPLAPPLE INC.4/27/2017Nasdaq GS143.79004/27/2017NGSM
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