Abstract
The volatility of a stock or stock index can be calculated either from historical prices or from the prices of option contracts. Several methods and their relative forecasting accuracy are reviewed. The most accurate methods require either very frequent price measurements or option prices for several strikes.
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© 2018 Macmillan Publishers Ltd.
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Taylor, S.J. (2018). Stock Price Volatility. In: The New Palgrave Dictionary of Economics. Palgrave Macmillan, London. https://doi.org/10.1057/978-1-349-95189-5_2162
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DOI: https://doi.org/10.1057/978-1-349-95189-5_2162
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Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-95188-8
Online ISBN: 978-1-349-95189-5
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