Summary

Licensing

I, the copyright holder of this work, hereby publish it under the following license:

This file is licensed under the Creative Commons Attribution-Share Alike 4.0 International license.

You are free:

• to share – to copy, distribute and transmit the work
• to remix – to adapt the work

Under the following conditions:

• attribution – You must give appropriate credit, provide a link to the license, and indicate if changes were made. You may do so in any reasonable manner, but not in any way that suggests the licensor endorses you or your use.
• share alike – If you remix, transform, or build upon the material, you must distribute your contributions under the same or compatible license as the original.

https://creativecommons.org/licenses/by-sa/4.0CC BY-SA 4.0 Creative Commons Attribution-Share Alike 4.0 truetrue

Updated data up to 6 October 2021.

blockchain.com only provides data for 1 in 3 days. That is less than the 252 or 261 samples per year used on volatility calculation for the stock market. This is why I have used a different data source (bitcoinvisuals.com). Lack of precision of no more than one cent of a dollar on low prices around year 2010 accounts for a significant part of the lack of precision on the volatility at the left side of the chart. Thus volatility in early 2011 is not accurate.

I provide line chart of EWMA volatility, one price sample per day for 365 contiguous days, λ with value 0.94, divided by 261 days (as it is typical in stock market calculations).

Volatility formula on chart: ${\displaystyle \sigma ={\sqrt {261}}{\sqrt {\sum _{i=0}^{364}(1-\lambda )\lambda ^{i}(r_{t-i-1}-{\overline {r}})^{2}}}}$

Newer versions of this file with a different license can be found here: