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Beta Volatility
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1. Volatility is standard deviation of returns;
2. Volatility, or standard deviation is the square root of variamce;
3. The assumption that common option pricing and volatility models take that stock prices make the so-called Random Walk, i.e. the Brownian Motion => each particular increment of this random walk has variance that is proportional to the time over which the price is moving;
4. Since the daily variance is to be annualized => Hence, SQRT(260)" or the "Rule of 16".
Thx for making me to think about your presentation and calculation in this module. Cheers.
Peter C. Read More