ExcelThe VIX has become a popular volatility index that is based on a weighted average of S&P 500 options that straddle a 30-day maturity. This manner of calculatindoi:10.2139/ssrn.1103971Arnold, TomEarl, John HSocial Science Electronic Publishing...
As the short cut method uses the function STDEV for calculating the portfolio’s daily volatility which also employs the ‘n-1’ method, EXCEL’s COVAR function has to be adjusted by multiplying it with a factor of [n/(n-1)] to make it consistent with the STDEV() function. Hence covar...
You can easily calculate variance and standard deviation, as well as skewness, kurtosis, percentiles, and other measures, using theDescriptive Statistics Excel Calculator. For historical volatility of stocks and other assets, you can use theHistorical Volatility Calculator....
Value at Risk Review: Calculating Volatility or Vol This method simply states in this case that the unit of volatility for fuel is 68 cents, for WTI is $22 and for gold is $242. But what happens when the price of gold comes down to $200, or the price of fuel comes down to $...
In order to manage portfolio risk, it would be helpful to have a risk decomposition of the current portfolio. This task is not simple. The reason is that the portfolio volatility is not a linear function of its components. Adding up the individual asset VaRs will not yield the portfolio VaR...
The 1.093 value resulting from the weighted beta calculation indicates a positively correlated portfolio with slightly higher volatility than the market. Interpreting Beta Values As with individual assets, understanding a portfolio's risk and possible returns is key to making informed investment decisions....
What is the expected return on a portfolio which has a volatility of 15%? How do market interest rates determine bond pricing? "If you expected interest rates to fall, you would prefer to own bonds with short maturities and high coupons." Explain why do you agree...
Calculating initial margin (IM) and variation margin (VM)
such as Microsoft Excel, and using the software's data analysis add-on feature. By utilizing this methodology, investors should be able to easily generate a histogram, which in turn should help them gauge the true volatility of their
That’s actually a 4.9% CAGR, but the year-over-year volatility in those returns is huge. The reality is that many investments experience significant short-term ups and downs. The CAGR might give a numerically accurate but emotionally misleading impression of performance when smoothing ...