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The basic calculation for volatility (denoted ) as used in option pricing is the annualized standard deviation of continuously compounded daily returns. Calculate volatility for Dollar General Corporation (NYSE: DG) based on its closing prices for two weeks, given in the table below. (Annualize based on 250 days in a year.)
Dollar General Corporation Daily Closing Stock Price
Date
Closing Price ($)
27 January 2003
10.68
28 January 2003
10.87
29 January 2003
11.00
30 January 2003
10.95
31 January 2003
11.26
3 February 2003
11.31
4 February 2003
11.23
5 February 2003
10.91
6 February 2003
10.80
7 February 2003
10.47
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In the given assignment, we were required to analyse the statistical problem and to determine the variance the returns.
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