Volatility

Parameter Description

Volatility is the parameter characterizing the degree of changeability of a security’s price relative to its value for a certain time period. This parameter plays an important part in estimating the potential risks and profitability of investments. The parameter of anticipated volatility is most useful from the point of view of the potential risk and profitability of investments. Anticipated volatility is the estimation of the future volatility of the security’s price in a certain time horizon. The method for calculating anticipated volatility is based on the assumption of large-scale invariability of the deviations of securities’ prices from average values.

The value of anticipated volatility for a 90-day time horizon, calculated on the basis of ordinary one-day volatility, acts as the estimation of 90-day volatility. The volatility parameter is calculated daily at the close of trading on the MICEX SE CJSC.

Calculation Methodology

The volatility value is calculated according to the following formula:

Where:

Designations:

δ⁹⁰_i – is the volatility at the 90—day time horizon of the i-th security;
δ¹_i – is the volatility at 1—day time horizon of the i-th security;
P^k_i – is the price of the i-th security included in the index calculation base used when calculating the relevant index as of the end of the k-th trading day;
ΔP^k_i – is the relative change of price of the i-th security on the k-th trading day;
ΔP_i – is the average value of the relative changes of prices of the i-th security for the period calculated;
N – is the number of days in the calculated period (N = 50).

Methodology for Calculating Analytical Parameters (In Russian)