Calculator Inputs
Example Data Table
| Day | Close | High | Low | Approx Return |
|---|---|---|---|---|
| 1 | 42000 | 42420 | 41750 | - |
| 2 | 42550 | 42800 | 42210 | 1.31% |
| 3 | 41880 | 42120 | 41620 | -1.57% |
| 4 | 43020 | 43280 | 42720 | 2.72% |
| 5 | 43510 | 43760 | 43120 | 1.14% |
| 6 | 42940 | 43350 | 42600 | -1.31% |
| 7 | 43820 | 44040 | 43470 | 2.05% |
| 8 | 44210 | 44510 | 43880 | 0.89% |
| 9 | 44780 | 45000 | 44410 | 1.29% |
| 10 | 44090 | 44420 | 43820 | -1.54% |
Formula Used
1. Simple return: r = (Pt / Pt-1) - 1
2. Log return: r = ln(Pt / Pt-1)
3. Mean return: μ = Σr / n
4. Sample variance: σ² = Σ(r - μ)² / (n - 1)
5. Daily volatility: σ = √σ²
6. Annualized volatility: σannual = σ × √N, where N is periods per year
7. EWMA variance: σ²t = λσ²t-1 + (1 - λ)r²t-1
8. Parkinson volatility: σ = √[Σ(ln(H/L))² / (4n ln2)]
9. Downside deviation: √[Σ(min(0, r - MAR))² / n]
How to Use This Calculator
- Enter an asset name for reference.
- Select whether you want to work from prices or returns.
- Choose log return or simple return mode.
- Paste price data or return observations into the text areas.
- Optionally add highs and lows for Parkinson range volatility.
- Set the rolling window, annualization periods, EWMA lambda, and benchmark level.
- Press Calculate Volatility to display results above the form.
- Review the summary metrics, plot, and output table.
- Use CSV or PDF export for reporting and documentation.
Frequently Asked Questions
1. What does crypto volatility measure?
It measures how strongly an asset’s returns fluctuate around their average. Higher volatility usually means larger and faster price swings, which can increase both opportunity and risk.
2. Why use log returns instead of simple returns?
Log returns are often preferred in quantitative analysis because they are additive across time and handle compounded movement more cleanly, especially for frequent trading data.
3. What is annualized volatility?
Annualized volatility scales the daily or periodic volatility by the square root of the number of periods in a year. It helps compare assets using a common yearly basis.
4. What does EWMA volatility show?
EWMA gives more weight to recent returns. It reacts faster to fresh market shocks than plain historical volatility, making it useful during rapidly changing crypto conditions.
5. When is Parkinson volatility useful?
It is useful when you have reliable high and low prices for each period. It captures intraperiod range information and can be more efficient than close-only methods.
6. Does high volatility always mean a bad investment?
No. High volatility means wider uncertainty, not automatic poor quality. Some traders seek volatile assets, but position sizing and risk controls become far more important.
7. How many observations should I use?
That depends on your timeframe. Short windows respond quickly but can be noisy. Longer windows are smoother but may lag. Many analysts start with 14, 30, or 90 periods.
8. Can I use this for coins other than Bitcoin?
Yes. The calculator is asset-agnostic. You can use it for Bitcoin, Ethereum, altcoins, token baskets, or any market series with valid price or return observations.