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30 Day Volatility

Definition

The 30 days volatility, measured as the deviation of log returns
Name
MetricID
Category
Subcategory
Type
Unit
Interval
30 Day Volatility
VtyDayRet30d
Market
Returns
Ratio
Dimensionless
30 days

Details

  • Computed as the standard deviation of the daily natural log returns over 30 days.

Release History

  • Released in the 1.0 release of NDP

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