How Is Historical Volatility Calculated for a Cryptocurrency?
Historical volatility (HV) is calculated by measuring the standard deviation of the underlying cryptocurrency's price returns over a specified past period (e.g. 30, 60, or 90 days).
This statistical measure provides an objective look at how much the asset's price has fluctuated in the past, often serving as a benchmark for estimating future volatility.
Glossar
Historical Volatility
Evidence ⎊ This metric is derived from the time-series of past asset prices, representing the actual realized dispersion of returns over a defined historical window.
Standard Deviation
Deviation ⎊ Standard Deviation is a fundamental statistical measure quantifying the amount of variation or dispersion of a set of values, specifically asset returns, from their mean.
Statistical Measure
Metric ⎊ A statistical measure in finance quantifies specific characteristics of market data, providing objective insights into price movements and risk profiles.
Price Returns
Yield ⎊ Price returns, within cryptocurrency and derivatives markets, represent the proportional change in an asset’s value over a defined period, frequently annualized for comparability.