Serving the Quantitative Finance Community
-
- European81
- Posts: 0
- Joined:
Standard error
Possibly a simple question but what is the formula for the standard error of a volatility estimate? I only know the formula for the standard error of the mean and I haven't been able to find any information on this anywhere.
-
- kanukatchit
- Posts: 0
- Joined:
-
- European81
- Posts: 0
- Joined:
Standard error
Maybe it'll be helpful if I give a reference to the problem. It's problem 12.25 in Hull 5. ed. Or problem 13.27 in Hull 6. ed. The problem goes:Suppose that observations on a stock price (in dollars) at the end of each of 15 consecutive weeks are as follow:30.2 32.0 31.1 30.1 30.2 30.3 30.6 33.0 32.9 33.0 33.5 33.5 33.7 33.5 33.2Estimate the stock price volatility. What is the standard error of your estimate? I have no problem with the first part, but the second is puzzling to me. I understand what is asked but I do not have the formula at hand.