How to measure volatility of FTSE100 - Research purposes

[zo786]

Hello,

I am doing a dissertation on the short selling ban, and am looking to see how the volatility of the FTSE100 was affected before, during and after the ban 18th Sept 2008.

What is the best way to (for free) measure the volatility of the FTSE100?

Thanks for the help everyone, im majorly behind!

Zo

 

[Martinghoul]

You can compute the historical volatility in several of the usual ways (just google volatility or Garman-Klass). Otherwise, you can also look at the impact of the short-selling ban on implied volatility which you can obtain from index option prices.

 

[zo786]

Can you explain the index option prices way you mention?

Is there anything that can be done with the Real time charting tool on IG Index to show volatility?

What i want to do is see if volatility went down, and empirically show some evidence.

Ive tried googling, dont really know which method to use. ill keep searching

thanks,

Zo

 

[Dommo]

You may be interested in VFTSE, which is a vol index like VIX but based on FTSE options and calculated by Euronext/Liffe. Google VFTSE for links.
Regards
Dom

 

[zo786]

Thanks, ill look into the VFTSE.

Atm, im using the "Historical Volatility" took on the Charting package part of IG.

Does anyone know if this is a suitable measure, with regards to my dissertation ?

 

[Geofract]

You can use an ATR indicator on your IG charts... I'm not 100% that this is the bext measure of volatility, but it may be useful nonetheless.