Calculate volatility
In this exercise, you will practice how to compute and convert volatility of price returns in Python.
Firstly, you will compute the daily volatility as the standard deviation of price returns. Then convert the daily volatility to monthly and annual volatility.
S&P 500 time series has been preloaded in sp_data, and the percentage price return is stored in the ’Return’ column.
This exercise is part of the course
GARCH Models in Python
Hands-on interactive exercise
Have a go at this exercise by completing this sample code.
# Plot the price returns
plt.plot(sp_data['____'], color = 'orange')
plt.show()
# Calculate daily std of returns
std_daily = sp_data['____'].____()
print('Daily volatility: ', '{:.2f}%'.format(std_daily))