You are to estimate a nondividend-paying stock's annualized volatility using its prices in the past nine months.
We are given Month and Stock Price.
Calculate the historical volatility for this stock over the period.
Why in the solution, does it give that r_i = ln (S_t-1 / S_t)?
On page 170 of the ASM Manual (Section 8.1), we are given that we need to calculate ln (S_t / S_t-1) .
Which is correct?
We are given Month and Stock Price.
Calculate the historical volatility for this stock over the period.
Why in the solution, does it give that r_i = ln (S_t-1 / S_t)?
On page 170 of the ASM Manual (Section 8.1), we are given that we need to calculate ln (S_t / S_t-1) .
Which is correct?
MFE Sample 17 - Annualized Volatility
