Does this volatility-like measure have a name?

Question

So, basically I'm looking at {=SQRT(AVERAGE((R1:R100)^2))}, or in words: the square root of the average of squared daily returns.

Is there a nice simple term/name for this? (By simple term, I mean a word that I could use with non-statisticians and the like.)

I suppose it is the RMS (root mean square) return, but that term is not in widespread non-technical use en.wikipedia.org/wiki/Root_mean_square — nbbo2, Mar 30, 2020 at 16:41
In statistical term this is a square root of second general moment, i.e. $\sqrt{E(X^2)}$. Could you provide more details? For which calculation do you use this measure? Afer that I would come with laymen explanation your are looking for. — Martin Vesely, Mar 30, 2020 at 18:22
Just one comment, the measure seems not to express volatility as there is no base you are measuring difference against (like an average in standard deviation). — Martin Vesely, Mar 30, 2020 at 18:25
@noob2 I just might use 'quadratic mean' mentioned in the Wikipedia article. Thanks — Řídící, Mar 30, 2020 at 18:26
@MartinVesely I'm not looking for a layman explanation. (I have that.) But, rather, I'm looking for a good term/name for the measure to use after having explained it. — Řídící, Mar 30, 2020 at 18:29

Kermittfrog · Accepted Answer · 2020-03-30 19:58:29Z

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If you assume a zero drift for our asset return, this formula is indeed simply a measure for (daily?) volatility.

answered Mar 30, 2020 at 19:58

Kermittfrog

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$\begingroup$ Thanks. I know. One of my own thoughts was to call it 'zero-drift volatility'. $\endgroup$
– Řídící
Mar 30, 2020 at 20:01
$\begingroup$ I believe one can show that ‘zero drift volatility’ is the same as ‘regular volatility’ in the limit of small time steps. $\endgroup$
– dm63
Mar 31, 2020 at 1:13
$\begingroup$ @dm63 That is indeed what I see over longer periods. But in this case, I'm using the measure for time periods that are small themselves. For example, six days of -2% each. Then the two measures are quite different. $\endgroup$
– Řídící
Mar 31, 2020 at 4:24
$\begingroup$ @keep these mind, I agree with that. $\endgroup$
– dm63
Mar 31, 2020 at 9:25

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