Volatilitet

Volatility Index (VIX) for Chicago Board Options Exchange 1985-2012.

Inden for finansiering er volatility (normalt angivet med σ) graden af varians i handelsprisen over en given periode, normalt mål med standardafvigelsen af logaritmisk afkast.

Historisk volatilitet måler en tidsperiode i tidligere markedspriser. Underliggende volatilitet ser frem i tiden, og er afledt fra markedsprisen på en markedshandlet derivativ (særligt optioner).

Det er alment kendt, at forskellige typer aktiver kan opleve perioder med høj eller lav volatilitet, hvilket betyder at prisen i nogle periode går hurtigt op og ned, mens de i andre periode er meget stabile.[1] I valutamarkeder varierer priserne typisk ensartet over en dag eller en uge.[2][3]

Referencer

  1. ^ "Taking Advantage Of Volatility Spikes With Credit Spreads".
  2. ^ Müller, Ulrich A.; Dacorogna, Michel M.; Olsen, Richard B.; Pictet, Olivier V.; Schwarz, Matthias; Morgenegg, Claude (1990-12-01). "Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis". Journal of Banking & Finance (engelsk). 14 (6): 1189-1208. doi:10.1016/0378-4266(90)90009-Q. ISSN 0378-4266.
  3. ^ Petrov, Vladimir; Golub, Anton; Olsen, Richard (juni 2019). "Instantaneous Volatility Seasonality of High-Frequency Markets in Directional-Change Intrinsic Time". Journal of Risk and Financial Management (engelsk). 12 (2): 54. doi:10.3390/jrfm12020054.
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