1.6.1 Historical volatility
The historical volatility is simply the standard deviation of the total return index
We don't have a way to export this macro.
within a certain time period. It is given by
We don't have a way to export this macro.
where
We don't have a way to export this macro.
is the total return index at time We don't have a way to export this macro.
and We don't have a way to export this macro.
is the mean total return over period We don't have a way to export this macro.
.