Calculation of Standard Deviation

CFA Level III Fixed Income
#1

I need to know how to calculate the standard deviation of Treasury Bond/Sovereign Bond for one year period? i have followed below method: please verify the method that i followed or if not what wis best method?

MY Method

  1. I took one year daily prices of the bond and calculated the daily return and used excel function of STDEV.P and calculated daily standard deviation and Used SQFT (250) function to annualized the standard deviation.

Does this method correct? do we need to take price movement instead of daily movement (return)?

Please advice me which method is suitable to the calculate standard deviation of Treasury Bond/Sovereign Bond

#2

Are you trying to calculate the standard deviation of prices or the standard deviation of returns.

#3

i was asked to do Sovereign bond volatiltiy last 12 month? which one is better either SD of price or SD of daily return

#4

I think your method is sufficiently adequate.

Personally, I would also calculate, using the same method of yours, the weekly, monthly, and even quarterly returns volatility. If the results differ drastically, then I would ask a specialist about what is the norm in this cases (not my field btw).

Hope this helps

#5

This will help me, Thanks