Links
Comment on page

60 Day Volatility

Definition

The 60 days volatility, measured as the deviation of log returns
Name
MetricID
Category
Subcategory
Type
Unit
Interval
60 Day Volatility
VtyDayRet60d
Market
Returns
Ratio
Dimensionless
60 days

Details

  • Computed as the standard deviation of the daily natural log returns over 60 days.

Release History

  • Released in the 1.0 release of NDP

Availability for Assets