Generally speaking,
historical volatility is associated with the underlying asset.
Specifically, we specify r(t) as the risk-free interest rate and employ the
historical volatility of the targeted asset as a proxy for the volatility factor [phi](t).
historical volatility produced the best performance of the volatility-responsive strategy.
Day & Lewis (1992) and Lamoureux & Lastrapes (1993) concluded that implied volatility is a biased and inefficient forecast of future volatility and that
historical volatility contains more information about future volatility than does implied volatility.
In the futures market itself,
historical volatility based on daily price changes on a 22-day basis stands at around 89 percent, also sharply down from its peaks but still above a low of under 80 percent in February.
* In evaluating
historical volatility, determine if the company's process looks back over the expected term to consider the extent to which currently available information indicates that future volatility will differ from
historical volatility; and
Statement 123(R), paragraph A32 (a), indicates that companies should consider
historical volatility over a period generally commensurate with the expected or contractual term of the awards.
(6) Figure 4 compares the estimated conditional variance with the calculated weekly
historical volatility for crude oil spot price.
* Consider if
historical volatility is a reliable indicator of long-term volatility in light of mean reversion tendencies (FAS 123R Sec.
And another important choice between
historical volatility and implied volatility for BSM would both be compared with the proposed ENFIS model to show the superior in euro foreign exchange options of CME.
In two of the indicators, the weight of each sub-group depends on the
historical volatility of the sub-group.
Peterson, 1994, "Assessing the Intraday Relationship Between Implied and
Historical Volatility", Journal of Futures Markets, 14:323-346