Sentences with phrase «statistical measure of volatility»

Not exact matches

In their October 2009 paper entitled «Risk Sentiment Index (RSI) and Market Anomalies», Guy Kaplanski and Haim Levy introduce the Risk Sentiment Index (RSI) as a measure of the residual risk contained in VIX after accounting for the statistical and economic variables most predictive of future stock market volatility (such as previous month actual volatility and VIX).

Volatility refers to standard deviation, a statistical measure that captures the variations from the mean of a stock's returns and that is often used to quantify risk over a specific time period.

Volatility is a statistical measure of the dispersion of returns for a given security or market index.