Talk:Volatility (finance)

message: ″==Question==
This does not sound right: future implied volatility which refers to the implied volatility observed from future prices of the financial instrument - that means I would need the future prices of the instrument to calculate the vola? :-) Where does all this terminology come from? Neither looks right nor backed by literature like the Hull. Thobitz (talk) 19:32, 22 March 2011 (UTC)

message: The standard deviation is called volatility which is a measure of risk. semi deviation such as the downside risk can be defined as 
DR=E\left[\max\left\{ E\left(R\right)-R,0\right\} \right]^{2} while \sigma^{2}=E\left[E\left(R\right)-R\right]^{2}. Jackzhp (talk) 02:42, 13 April 2010 (UTC)
thread_title: standard deviation vs. semi deviation

message: "Of course, the average magnitude of the observations is merely an approximation of the standard deviation of the market index. Assuming that the market index daily changes are normally distributed with mean zero and standard deviation σ, the expected value of the magnitude of the observations is √(2/π)σ = 0.798σ. The net effect is that this crude approach overestimates the true volatility by about 25%."
I am no financier, but this last sentence does not seem correct. If the expectation of the observed deviations equals 0.798σ, then using this crude estimate rather than the true σ (= (1/.798)* average) would underestimate the true volatility, not overestimate it as stated.
--71.33.143.250 (talk) 21:46, 1 July 2011 (UTC)
thread_title:  Crude Volatility Estimation section 

message: Several sources lately talk about Volatility Indices as a measure of "how much people are scared". Google it. --Athinker (talk) 00:43, 9 August 2011 (UTC)
thread_title:  I think the article is wrong 

message: The criticism section seems awfully personal in the way it deals with critiquing volatility.  Also, the papers cited are old. Updated references would be a good addition. JayBee51 (talk) 21:33, 30 August 2011 (UTC)
replies: text: The criticism section does indeed seem a bit personal.  That said, it would be unfair to ignore the critics.  One point I disagree on: The age of the papers has no bearing on their relevance.  In fact, old papers that are still cited are likely to be better than recent papers.  I know this is different from the Wikipedia idea that newer is better; but, in academia, citations matter more than age. Cumulant (talk) 21:52, 31 May 2012 (UTC)
thread_title:  POV in criticism section 

message: I think the opening section is not correct, and leads to confusion further into the article.  "Volatility" is a concept for randomness - but upside and downside.  This fits the definition of a "Risk Metric".  It can be calculated in a number of different ways - (option implied, exponentially weighted moving average etc).  All these are risk measures.
Making this distinction early on in the piece would make the definitions of the various risk measures (calculation algorithms) more meaningful.  — Preceding unsigned comment added by 168.140.181.4 (talk) 02:34, 20 August 2013 (UTC)
thread_title:  Volatility is a Metric not a measure 

message: Dr. Wu has reviewed this Wikipedia page, and provided us with the following comments to improve its quality:
We hope Wikipedians on this talk page can take advantage of these comments and improve the quality of the article accordingly.
Dr. Wu has published scholarly research which seems to be relevant to this Wikipedia article:
*Reference : Jing-zhi Huang & Liuren Wu, 2004. "Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes," Econometric Society 2004 North American Winter Meetings 405, Econometric Society.
ExpertIdeasBot (talk) 04:55, 16 June 2016 (UTC)
thread_title:  Dr. Wu's comment on this article 

message: Dr. Kocenda has reviewed this Wikipedia page, and provided us with the following comments to improve its quality:
We hope Wikipedians on this talk page can take advantage of these comments and improve the quality of the article accordingly.
Dr. Kocenda has published scholarly research which seems to be relevant to this Wikipedia article:
*Reference : Evzen Kocenda & Vit Bubak & Filip Zikes, 2011. "Volatility Transmission in Emerging European Foreign Exchange Markets," William Davidson Institute Working Papers Series wp1020, William Davidson Institute at the University of Michigan.
ExpertIdeasBot (talk) 18:28, 27 June 2016 (UTC)
thread_title:  Dr. Kocenda's comment on this article 

message: Dr. Caporin has reviewed this Wikipedia page, and provided us with the following comments to improve its quality:
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We believe Dr. Caporin has expertise on the topic of this article, since he has published relevant scholarly research:
*Reference : Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Chasing volatility - A persistent multiplicative error model with jumps," CREATES Research Papers 2014-29, School of Economics and Management, University of Aarhus.
ExpertIdeasBot (talk) 16:08, 24 August 2016 (UTC)
thread_title:  Dr. Caporin's comment on this article 

message: I think this paragraph makes no sense. What is the justification here for starting with the Taylor series of the logarithm?
The effect comes from the behavior of geometric Brownian motion, and the exakt correction term is -σ^2/2 *without* the higher-order terms. 95.208.192.204 (talk) 17:24, 24 February 2023 (UTC)
thread_title:  CAGR