Calculates the historical estimate of the present volatility taking into account the dividends or interest payments of the underlying asset.
The historical estimate is evaluated using a given number of historical values of the assets market price. Care should be taken when deciding on the number of historical values to use within the historical estimate of the present volatility. A balance needs to be made between using a large sample (resulting in the small standard error) and a smaller sample which does not take too distant historical values which may not fully reflect the present market dynamics. As a rule of thumb the number of days used in order to historical estimate the present daily volatility should (in generally) be between 90 and 180 days.
Exception Type | Condition |
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OptionException | Thrown when the number of asset prices is not equal to the number of dividends. |
Volatility Class | Portfolio Namespace | HistoricalEstimate