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.
FASB appreciates the relevance of historical volatility
in estimating future volatility.
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.