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  • Realized Volatility

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    Oumayma Tahiri
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    The document shows daily price data for an asset over a 20 day period, including the price, daily return (r), and daily return squared (r2). It then calculates the monthly realized variance, monthly realized volatility, annualized realized variance, and annualized realized volatility based on the daily price data.

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    The document shows daily price data for an asset over a 20 day period, including the price, daily return (r), and daily return squared (r2). It then calculates the monthly realized variance, monthly realized volatility, annualized realized variance, and annualized realized volatility based on the daily price data.

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    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
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    3 views1 page

    Realized Volatility

    Uploaded by

    Oumayma Tahiri
    The document shows daily price data for an asset over a 20 day period, including the price, daily return (r), and daily return squared (r2). It then calculates the monthly realized variance, monthly realized volatility, annualized realized variance, and annualized realized volatility based on the daily price data.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    of 1

    http://breakingdownfinance.

    com

    Time Price r r²
    1 $ 25.00
    2 $ 25.22 0.38% 0.00%
    3 $ 24.08 -2.01% 0.04%
    4 $ 24.07 -0.02% 0.00%
    5 $ 24.41 0.62% 0.00%
    6 $ 24.69 0.49% 0.00%
    7 $ 24.42 -0.47% 0.00%
    8 $ 23.97 -0.80% 0.01%
    9 $ 24.76 1.40% 0.02%
    10 $ 24.67 -0.16% 0.00%
    11 $ 24.55 -0.21% 0.00%
    12 $ 24.36 -0.33% 0.00%
    13 $ 24.23 -0.24% 0.00%
    14 $ 24.49 0.47% 0.00%
    15 $ 24.59 0.17% 0.00%
    16 $ 23.64 -1.72% 0.03%
    17 $ 23.71 0.13% 0.00%
    18 $ 24.67 1.72% 0.03%
    19 $ 24.07 -1.06% 0.01%
    20 $ 23.38 -1.27% 0.02%

    Monthly realized variance 0.168%


    Monthly realized volatility 4.099%
    Annualized realized variance 2.016%
    Annualized realized volatility 14.199%

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