# An Alternative Estimation of Market Volatility based on Fuzzy Transform

## TL;DR

This paper introduces a novel method for estimating market volatility using fuzzy transform, providing an alternative to traditional standard deviation measures, and compares its effectiveness on the NIFTY 50 index data.

## Contribution

It proposes and evaluates a fuzzy transform-based volatility measure, offering a new approach aligned with risk measurement concepts.

## Key findings

- Fuzzy transform-based volatility correlates well with standard measures.
- The new measure provides a compatible alternative for risk assessment.
- Empirical analysis on NIFTY 50 demonstrates its practical applicability.

## Abstract

Realization of uncertainty of prices is captured by volatility, that is the tendency of prices to vary along a period of time. This is generally measured as standard deviation of daily returns. In this paper we propose and investigate the application of fuzzy transform and its inverse as an alternative measure of volatility. The measure obtained is compatible with the definition of risk measure given by Luce. A comparison with standard definition is performed by considering the NIFTY 50 stock market index within the period Sept. 2000 - Feb. 2017.