Assuming 256 trading days in a year, find the volatility per annum by using the close only
| Day | High | Low | Close |
|---|---|---|---|
| 0 | 40 | ||
| 1 | 45 | 40 | 43 |
| 2 | 48 | 45 | 45 |
| 3 | 46 | 44 | 45 |
| 4 | 47 | 42 | 44 |
| 5 | 50 | 45 | 50 |
Assuming 256 trading days in a year, find the volatility per annum by using the close only, high-low, and high-low-close methods. Use Excel.
Homework Answers
Calculating Volatility Per Annum using Close Price only:
Volatility per annum = Daily Volatility * Squareroot of no. of trading days
= 5.95% * Squareroot of 256
= 5.95% * 16
= 95.2%
| Days | Close | Daily Rt | |||
| 0 | 40 | ||||
| 1 | 43 | 0.072321 | |||
| 2 | 45 | 0.045462 | |||
| 3 | 45 | 0 | Daily Voltality = | 0.05955 | |
| 4 | 44 | -0.02247 | |||
| 5 | 50 | 0.127833 | |||
| 267 |
To Calculate Volatility in Excel:
Step 1: Fill in Days and Close Price Column from the Question
Step 2: Calculate Daily returns using the formula LN (Ending Price / Beginning Price) where LN denotes Logarithm to base E. This formaula is available in excel. so in Daily Rt cell in Day 1 Type =LN(Day1 Close Price Cell / Day0 Close Price Cell)
Step 3: Calculate Daily Volatility
You can use the Standard Deviation Formula from excel to calculate Daily Volatility. In an Empty cell Type = STDEV( Select all Daily RT cells)
You Get Daily Volatility as 0.05955 you can express in percentage as 5.95%
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