Title

Measuring historical volatility.

SelectedWorks Author Profiles:

Wei Guan

Document Type

Article

Publication Date

2006

Date Issued

2006-01-01

Date Available

2013-04-10

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]

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.

Language

en_US

Publisher

Financial Management Association International

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.