Close-to-Close Volatility Calculator
A simple tool to calculate historical volatility using daily closing prices. Perfect for analyzing price variability in financial (read: stock) markets.
About Close-to-Close Volatility
Close-to-close volatility measures price variability using daily closing prices. It's widely used in financial (stock) markets for its simplicity.
Alternative Methods
Parkinson: More precise. Uses daily high/low prices. Try at PortfoliosLab
Garman-Klass: Incorporates open & closing prices. Try at PortfoliosLab
Yang-Zhang: 14× better than close-to-close. Combines overnight & intraday. Try at PortfoliosLab
Common values:
- 252 - US stocks
- 365 - Cryptocurrency
- 260 - Some markets
Important Input Requirements
- •Enter data chronologically (oldest to newest)
- •Date format: any format without spaces (e.g., 10/18/2024, 1.1.24 or 31-Oct-24,…)
- •Price format: use dots for decimals (e.g., 27.58)
- •Pro tip: You can directly paste from Excel (two columns: dates and prices)
- Example: 10/18/2024[Tab or Space]42.50