Generalized volatility for time T
In finance, volatility is a measure for variation of price of a financial instrument over time. An implied volatility is derived from the market price of a market traded derivative (in particular an option). The annualized volatility σ is the standard deviation of the instrument’s yearly logarithmic returns.
The generalized volatility σT for time horizon T in years is related to the standard deviation and the time horizon T in years.
|σT||The generalized volatility for time T (dimensionless)|
|σ||The standard deviation of the instrument's yearly logarithmic returns (dimensionless)|
|T||Time in years (dimensionless)|