Question
Given the following end-of-week stock prices (in $), what is the annual stock price volatility (%)? Price relative = P t / P t-1 Note:
Given the following end-of-week stock prices (in $), what is the annual stock price volatility (%)? Price relative = Pt / Pt-1 Note: ln is the natural logarithm.
| Day | Price ($) | u=ln(Price relative) | (u 0.0246)2 |
| 1 | 58 | Na |
|
| 2 | 59 | 0.0171 | 0.00006 |
| 3 | 60 | 0.0168 | 0.00028 |
| 4 | 62 | 0.0328 | 0.00006 |
| 5 | 64 | 0.0318 | 0.00005 |
|
|
|
|
|
|
| Sum = | 0.0985 | 0.00045 |
|
| Sum/4 = | 0.0246 |
|
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Quantitative Finance With R And Cryptocurrencies
Authors: Dean Fantazzini
1st Edition
1090685319, 9781090685315
