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Selling volatility, day by day · Part 1 of 3
A stock at $100 has five daily log returns of +1%, −2%, +1.5%, −0.5% and 0%. Measure realised volatility with a zero mean, dividing by the number of returns, and annualise with 252 days.
What is the annualised realised volatility over the five days, in per cent?
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