Calculating Historical Volatility


In a rage of confusion and frustration, I set out to figure out how Historic Volatility (HV) is calculated. I couldn't find clear and correct guidance in forums, so I decided to pull the ideas and examples from other places and write my own explanation of how to calculate HV.

Attached is the PDF. Please let me know if I have done something wrong, something could be better, or any questions/comments.

Thank you,



  • Calculating Historic Volatility.pdf
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Bastian Gross

German Mathquant
This seems to be quite good, Frank!