USF St. Petersburg campus Faculty Publications
Measuring historical volatility.
Document Type
Article
Publication Date
2006
ISSN
1534-6668
Abstract
The adjusted mean absolute deviation is proposed as a simple-to-calculate alternative to the historical standard deviation as a measure of historical volatility and an input to option pricing models. We show that this measure forecasts future volatility consistently better than the historical standard deviation across a wide variety of markets. Moreover, it forecasts as well as or better than the GARCH(l, 1) [C53, G13]
Language
en_US
Publisher
Financial Management Association International
Recommended Citation
Ederington, L.H. & Guan, W. (2006). Measuring historical volatility. Journal of Applied Finance, 16(1), 5-14.
Creative Commons License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.
COinS
Comments
Abstract only. Full-text article is available through licensed access provided by the publisher. Published in Journal of Applied Finance, 16(1), 5-14. Members of the USF System may access the full-text of the article through the authenticated link provided.