Question

Consider the following weekly prices for XYZ:

week	price
0	100
1	49.6585
2	74.0818
3	134.9859
4	110.5171

Compute the volatility per day, per week, and per annum.

Answer 1

First, we compute the rate of return in each week

Rate of return in each week = (current week price - previous week price) / previous week price

Weekly volatility = weekly standard deviation. This is calculated using STDEV.S function in Excel

Daily volatility =  Weekly volatility / 7 (there are 7 days in a week)

Annual volatility =  Weekly volatility * 52 (there are 52 days in a year)

The volatility per day, per week, and per annum are above