Volatility

Assessing volatility of financial instruments is important because instruments with higher volatility are more risky compared to those with lower volatility. At the same time, high volatility also provides an opportunity to generate higher returns.

We use the arithmetic method in calculating the degree of volatility (v):

Where max is the maximum level of instrument prices over the specified period, min is the minimum level, n is the number of periods.

Volatility measuring in our research is used to determine the degree of the impact an event has on the market. If volatility doesn't change, the event in question may have no significant impact on price movements in the market quotations of financial instruments.

In our research, the following value intervals are taken for measuring volatility:

Volatility	Interpretation
below 2%	low
2% to 5%	medium
over 5%	high

Notes

We determined the specified intervals of volatility rates based on a large sample of historical data of financial instruments quotations by different market segments, which include commodity markets, forex, stock market and cryptocurrencies.