Re: [amibroker] Historical Volatility

Mon, 24 Jul 2006 19:32:33 -0700

Allan has it right - there are only 250-260 trading days in the year so the 250 days is about right
 


wavemechanic <[EMAIL PROTECTED]> wrote:
If you are looking for the annual historical volatility use all days or sqrt(365).
 
Bill
 
----- Original Message -----
From: "matrix10014" <[EMAIL PROTECTED]>
Sent: Monday, July 24, 2006 8:52 PM
Subject: [amibroker] Historical Volatility

>
> Hi,
>
> Is this the correct formula for 21 day historical volatility??
>
> HistVol = StDev(log(C/Ref(C,-1)),21)*100*sqrt(250);
>
>
> thanks
>
> Allan
>
>
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