# Volatility

The volatility $$\sigma$$ is the standard deviation of the average annualised returns:

$\sigma = \sqrt{\frac{1}{(M-1)\delta t}\sum_{i=1}^{M}(R_{i}-\overline{R})^{2}}$

Symbol Description
$$M$$ Number of time steps
$$\delta t$$ Size of time step
$$R_{i}$$ Return at time step $$i$$
$$\overline{R}$$ Mean return