Re: [amibroker] Historical Volatility

Mon, 24 Jul 2006 20:31:40 -0700

Depends what you are doing.  250 is used for stocks and 365 for options.  I assumed options which is where historical volatility is used routinely.  I should have indicated my assumption for clarity.
----- Original Message -----
From: Jason Hart
Sent: Monday, July 24, 2006 10:30 PM
Subject: Re: [amibroker] Historical Volatility

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
>
>
>
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
> 
> Yahoo! Groups Links
>
> <*> To visit your group on the web, go to:
>    http://groups.yahoo.com/group/amibroker/
>
> <*> To unsubscribe from this group, send an email to:
>    [EMAIL PROTECTED]
>
> <*> Your use of Yahoo! Groups is subject to:
>    http://docs.yahoo.com/info/terms/
> 
>
>
>
>
> --
> No virus found in this incoming message.
> Checked by AVG Free Edition.
> Version: 7.1.394 / Virus Database: 268.10.4/396 - Release Date: 07/24/06
>
>

Groups are talking. We´re listening. Check out the handy changes to Yahoo! Groups.

No virus found in this incoming message.
Checked by AVG Free Edition.
Version: 7.1.394 / Virus Database: 268.10.4/396 - Release Date: 07/24/06
__._,_.___

Please note that this group is for discussion between users only.

To get support from AmiBroker please send an e-mail directly to
SUPPORT {at} amibroker.com

For other support material please check also:
http://www.amibroker.com/support.html




SPONSORED LINKS
Investment management software Real estate investment software Investment property software
Software support Real estate investment analysis software Investment software

YAHOO! GROUPS LINKS



__,_._,___

Reply via email to