Measuring historical volatility.
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]
Financial Management Association International
Ederington, L.H. & Guan, W. (2006). Measuring historical volatility. Journal of Applied Finance, 16(1), 5-14.
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