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词汇 Historical volatility
分类 英语词汇 英语翻译词典
释义

Historical volatility

中文百科

波动性 Volatility (finance)

(重定向自Historical volatility)

波动性(又称“波幅”),指金融资产在一定时间段的变化性。通常以一年内涨落的标准差来测量。 光的波动性指两列光波在空中相遇时发生叠加,在某些区域总加强,某些区域减弱,相间的条纹或者彩色条纹的现象。 金融市场中,投资的波动性与其风险有着密切的联系。

英语百科

Volatility (finance) 波动性

(重定向自Historical volatility)
The VIX
Performance of VIX (left) compared to past volatility (right) as 30-day volatility predictors, for the period of Jan 1990-Sep 2009. Volatility is measured as the standard deviation of S&P500 one-day returns over a month's period. The blue lines indicate linear regressions, resulting in the correlation coefficients r shown. Note that VIX has virtually the same predictive power as past volatility, insofar as the shown correlation coefficients are nearly identical.

In finance, volatility is the degree of variation of a trading price series over time as measured by the standard deviation of returns.

Historic volatility is derived from time series of past market prices. An implied volatility is derived from the market price of a market traded derivative (in particular an option). The symbol σ is used for volatility, and corresponds to standard deviation, which should not be confused with the similarly named variance, which is instead the square, σ.

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