measuring historical volatility
Clarification ....
I wrote:
If that were based on just 21 data points, you would only know
the mean +/- 1225% (0.04 +/- 0.49) with 95% confidence.
Since the mean value is itself a percentage, it is confusing to
write "mean +/- 1225%". I meant 1225% of the mean, i.e.
mean +/- 12.25*mean.
Also, where I write "0.04 +/- 0.49", I should have written
"0.04% +/- 0.49 points", i.e. -0.45 <= mean <= 0.53.
|