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Close-to-Close Volatility

Close-to-Close volatility is a classic and most commonly used volatility measure, sometimes referred to as historical volatility.

Volatility is an indicator of the speed of a stock price change. A stock with high volatility is one where the price changes rapidly and with a bigger amplitude. The more volatile a stock is, the riskier it is.

Close-to-close historical volatility calculated using only stock's closing prices. It is the simplest volatility estimator. But in many cases, it is not precise enough. Stock prices could jump considerably during a trading session, and return to the open value at the end. That means that a big amount of price information is not taken into account by close-to-close volatility.

Despite its drawbacks, Close-to-Close volatility is still useful in cases where the instrument doesn't have intraday prices. For example, mutual funds calculate their net asset values daily or weekly, and thus their prices are not suitable for more sophisticated volatility estimators.

Other volatility estimators

There are many other volatility estimators, each with their benefits and drawbacks: Parkinson, Garman-Klass, Rogers-Satchell, Yang-Zhang.

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Close-to-Close Volatility Settings

Close-to-Close Volatility Chart

The chart shows rolling volatility for selected instruments. Values are annualized.

Chart placeholderClick Calculate to get results

Close-to-Close Volatility Formula

Close-to-Close Volatility Formula
Number of days in the sample period

Number of days in the sample period

Return on day t

Return on day t

Mean return

Mean return