How to calculate the historic volatility for FTSE 100

bullboy8

Active member
100 0
I read a mag from SG and in one of their articles it was talking about histoical volatility using SD. The one month volatility from 5th jan 09 to 5th feb 2009 was 30.95% acording to them.

I went to try to calculate this myself, first i got closing prices form yahoo finance:

FTSE 100 Historical Share Prices | ^FTSE | GB0001383545 | Yahoo! Finance UK

and worked out the % return for each day (return from the previous closing day) and applied the SD calculation, I got 1.8% for my answer. Does anyone know where I gone wrong?

What answer would you get?

2. Does anyone where i can get volatility data like this for the FTSE 100 without working it out myself?

Thanks
 

Shakone

Senior member
2,458 665
Are you sure they don't mean the monthly volatility. As in how much it changes over an entire month. And they have been calculating it for many months, and at 5th Feb, it was 30.95%?

You can see volatility on some chart packages.
 

bullboy8

Active member
100 0
thanks skakone...what do you mean the "monthly votatility"? i assume you mean from start to the end of the month.

this would mean 4228 - 4579 = 351 / 4228 = 8.3%

This is what it says "during the last month eg: from 5th of jan to 5th of den 2009, in average the FTSE 100 volatility has been 30.95%"
 

Calinor

Active member
184 20
You calculated the percentage change from two samples. It is kinda hard to know without having both the data and the original article, and it would be easier to comment if you had your calculation.

Just wondering about how you actually calculated the volatility. Outline roughly your method, and I'm sure it can easily be fixed one way or the other.
 
Last edited:

HairyMoose

Junior member
44 0
Hi i'm just looking at the Yahoo Data now too.
I'm not sure how to work out this Volatility thing but I subtracted month low from month high and divided by month close. (High-Low)/Close

It's interesting how much movement there is even in the quietest of months.
 

Similar threads


AdBlock Detected

We get it, advertisements are annoying!

But it's thanks to our sponsors that access to Trade2Win remains free for all. By viewing our ads you help us pay our bills, so please support the site and disable your AdBlocker.

I've Disabled AdBlock