Aug

16

Where would I find someone or a school to agree with the statement "volatility is not variance?"

My problem is with variance and not with volatility. Indeed, I might be forced to accept that the computation of volatility needs be the computation that we call variance when given some data.

So given that these topics elide and volatility is something seemingly we all experience, does anyone know of a school, perspective, or person that denies volatility and variance are one in the same? And proceeds to define volatility in some other manner?


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3 Comments so far

  1. frank gonzalez on August 16, 2007 12:57 pm

    Bernstein’s “Against the Gods” is pretty convincing.

  2. Russell Sears on August 17, 2007 11:37 am

    Measuring Illiquidity, weather its a stall stock price or liquidity spread of a bond, suggest that volatility is not variance.
    However, I would warn, that most measures of illiquidity assumes pure liquidty is a known function of somethings price.
    But as the big boys needing cash, and the quant hedge funds found out this week, this is a poor measure, as the cost of liquidity itself can be quite volatile and unknown.

  3. gabe on August 18, 2007 2:32 pm

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