Historical Volatility Calculation with Excel
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Uploader Comments (lordbinder)
All Comments (12)
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Your accent is WAY too thick.
I can't understand a WORD you're saying!
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thank you so much for your help..
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no surprise on the project supervisor, when i study at the states my thesis tutor knowledge was far behind mine, extremely discouraging
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look for 2 data series, in first world the stock market indexes and the references rates such as 5 or 10 years yields. The most important for emerging economies would be the EMBI+, take for example argentina, the political crisis of the farmers allow a 300% jump on the EMBI+. Your hypotesis is correct, you could construct a data series of those indexes and compare thorugh time the historical volatility to prove that increases on such events, and many times on advance of the event itself
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hmm, U diddnt do anything with the just calcluated logaritme of the price changes in column H. shouldnt u calculate the standard deviations of the price changes in natural logarithm? instead of over the column C2
goofer19 3 years ago
thats correct it was an error that someone pointed out a while ago I didnt remake the video for lack of time
lordbinder 3 years ago
forgot, you have just to call data on column H instead of C
lordbinder 3 years ago
what is the formula of the first step, its too blurry to see.
bigd8849 3 years ago
I think you mean the natural log, should be
=LN(last day close/close of the day before)in the example of the excel is
=LN(B2/B3)
lordbinder 3 years ago