1.6.1 Historical Volatility
The historical volatility is simply the standard deviation of the Index Total Returns within a certain time period.
It is given by:
where is the index total return at time and is the mean total return over period .
The historical volatility is simply the standard deviation of the Index Total Returns within a certain time period.
It is given by:
where is the index total return at time and is the mean total return over period .