Англо-русский экономический словарь.
Historical Volatility - HV — The realized volatility of a financial instrument over a given time period. Generally, this measure is calculated by determining the average deviation from the average price of a financial instrument in the given time period. Standard deviation… … Investment dictionary
historical volatility — Fluctuations estimated from a historical time series. Bloomberg Financial Dictionary See volatility. The annualised standard deviation of percentage changes in futures prices over a specific period. It is an indication of past volatility in the… … Financial and business terms
HISTORICAL VOLATILITY — Вычисления, которые обеспечивают ожидаемый уровень цен через определенное время. Это основано на изменении цены, лежащей в основании контрактов … Малая энциклопедия трейдера: глоссарий к книге
Volatility (finance) — Volatility most frequently refers to the standard deviation of the continuously compounded returns of a financial instrument with a specific time horizon. It is often used to quantify the risk of the instrument over that time period. Volatility… … Wikipedia
Volatility smile — In finance, the volatility smile is a long observed pattern in which at the money options tend to have lower implied volatilities than in or out of the money options. The pattern displays different characteristics for different markets and… … Wikipedia
volatility — A measurement of the change in price over a given period. It is often expressed as a percentage and computed as the annualized standard deviation of the percentage change in daily price. Chicago Board of Trade glossary The rate of change in a… … Financial and business terms
Volatility — A measure of risk based on the standard deviation of investment fund performance over 3 years. Scale is 1 9; higher rating indicates higher risk. Also, the standard deviation of changes in the logarithm of an asset price, expressed as a yearly… … Financial and business terms
Volatility arbitrage — (or vol arb) is a type of statistical arbitrage that is implemented by trading a delta neutral portfolio of an option and its underlier. The objective is to take advantage of differences between the implied volatility of the option, and a… … Wikipedia
implied volatility — Volatility of a financial instrument that is imputed by subtracting all of the other factors thought to contribute to the price of an option. The amount remaining after those subtractions is attributed to volatility. Implied volatility is not the … Financial and business terms
realized volatility — Volatility calculated using the actual movements of prices in financial markets. See volatility and implied volatility. American Banker Glossary Sometimes referred to as the historical volatility, this term usually used in the context of… … Financial and business terms
historical VAR — A measure of a financial instrument s, a portfolio of financial instruments , or an entity s exposure to reductions in value resulting from changes in prevailing interest rates. Historical VAR is one of several different methods for calculating… … Financial and business terms
