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Quantitative Finance

What is Volatility?

The simple answer is the standard deviation of periodic returns. This video takes some sample data for closing prices of a stock and demonstrates how volatility is calculated in Excel.

In finance, such as for price series, usually log returns are used, where log is the natural logarithm.

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Course: Introduction to Quantitative Finance
LESSONS
  • What is Volatility?
  • What is the Square Root Rule?
  • Why Use Lognormal Returns in Finance (Stock Prices)?
  • How to Scale Autocorrelated Returns?
  • Arithmetic Vs. Geometric Stock Returns
  • Extreme Value Theory

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