(redirected from Historical volatility)
Also found in: Dictionary, Thesaurus, Medical, Financial.


The quality of having a low boiling point or subliming temperature at ordinary pressure or, equivalently, of having a high vapor pressure at ordinary temperatures.
McGraw-Hill Dictionary of Scientific & Technical Terms, 6E, Copyright © 2003 by The McGraw-Hill Companies, Inc.
The following article is from The Great Soviet Encyclopedia (1979). It might be outdated or ideologically biased.



the property of liquid and solid substances of passing into the gaseous state. Volatility is measured by the concentration of saturated vapor for a substance at a particular temperature; it is expressed in milligrams per cu m or milligrams per liter and is calculated using the equation of state for ideal gases. The volatility of a substance increases with increasing temperature because of an increase in its saturated vapor pressure. In thermodynamics, “volatility” is also used in place of “fugacity.”

The Great Soviet Encyclopedia, 3rd Edition (1970-1979). © 2010 The Gale Group, Inc. All rights reserved.


Volatility generally refers to a situation that is constantly changing, such as startups, mergers, acquisitions and failures in the tech world. Stock market volatility refers to the index constantly rising and falling. In all cases, the rate of volatility or the change in volatility are of major concern. See volatile.
Copyright © 1981-2019 by The Computer Language Company Inc. All Rights reserved. THIS DEFINITION IS FOR PERSONAL USE ONLY. All other reproduction is strictly prohibited without permission from the publisher.
References in periodicals archive ?
Several authors (Schmalensee and Trippi (17) ; Natenberg; Christensen and Prabhala; Hansen) have found that implied volatility estimates are superior to the historical based volatility estimates of any kind at predicting future volatility values, while others found evidence that the historical volatility is a better predictor than implied volatility (Lamoureux and Lastrapes (19) ; Canina and Figlewski).
In line with CP, Gwilym & Buckle (1999), analyzing data on ATM options on the main United Kingdom stock index, the UK FTSE 100, concluded that implied volatility contains more information on future volatility than the historical volatility.
Table 2 Descriptive statistics for annualized historical volatility January 1990 through September 2005 Year Spot Market Futures Market WTI Gasoline Heating Oil Crude Oil Crush.
Even the historical volatility could be calculated by the statistical analyze, but how many data should be involved still have not a determined answer.
Because the BSM model may be an inadequate description of the observed option prices, caution is warranted in using it to compare implied volatility to historical volatility.
Looking again at Figure 1, the smoothness or, conversely, "spikiness" of the revenue growth series over time is quantified as historical volatility. On this basis, the apartment sector had the smoothest historical trend--the lowest risk--and office the highest risk, with retail and industrial in the middle.
The first papers used historical volatility as an estimator, under the assumption that past dynamic in volatility will be constant in the future.
Fleming (1995) shows that although ISDs are upward biased, they dominate historical volatility in ex ante forecasting power and that their forecast error is orthogonal to the parameters used in ARCH specifications.
The markets value of the warrants is calculated by application of the Black-Scholes formula and a historical volatility based on the share price of the group during the latest three months, an interest rate of 0.00% pa, a share prices of DKK196.00 (closing price on 26 March 2019) and provided that the granted warrants will be utilised in April 2022.
Financial metrics are considered manageable given the conservative debt structure, rate-raising flexibility, strong enplanement trends, and limited historical volatility since the onset of TNCs in the Logan Airport market.
This dividend policy should reduce the historical volatility of our distributions, and allow us to retain a greater portion of our earnings for growth and potential share repurchases." Ares declared a distribution of 40c per common unit for the five months ended February 28, inclusive of 25c per common unit for 4Q17 and 15c per common unit for the first two months of 1Q18, payable on February 28 to common unitholders of record at the close of business on February 26.

Full browser ?