Historical Volatility


Our volatility calculator lets you easily import and calculate the historical volatility of any time series while performing other statistical calculations.

Historic volatility is critical importance for options traders. Relying on implied volatility alone is risky. Implied volatility simply tells you how options are currently priced, but not whether they are realistically priced. Historic volatility, on the other hand, can help you understand whether or not options are currently cheap or expensive.

The Historic Volatility Calculator will calculate and graph historic volatility using historical price data retrieved from Yahoo Finance, or from a CSV text file.

When you work with options, you often need to quickly calculate historical volatility of underlying asset. Unfortunately, most of the common tools, including highly priced trading software, have serious limitations:

You can’t calculate non-centered (zero mean) HV, which many volatility traders actually use.

There is no documentation and you don’t know which exact formula the particular software is using.

All GARCH models are include the software.

  • EWMA
  • iGARCH
  • eGARCH
  • sGARCH
  • gjrGARCH
  • apARCH
  • csGARCH

There are more than 8 error term distribution models (Normal, Skew Normal, Student-t, Skew Student-t, GED, Skew GED, Normal Inverse, Generalized Hyperbolic, Johnson’s SU) function and lots of statistical test results automatically generated.

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