Hi Logan,
I noticed you had 20 as opposed to 21 for the calculation period.
Are you saying if I want a 21 day historical volatility I should use 20 days as the period??
----- Original Message -----
From: loganruns73 <[EMAIL PROTECTED]>
Date: Friday, July 28, 2006 9:53 am
Subject: [amibroker] Re: Historical Volatility
To: [email protected]
> StDev(log(C/Ref(C,-1)),20)*sqrt(251);
>
> --- In [email protected], "matrix10014" <[EMAIL PROTECTED]>wrote:
> >
> > Hi,
> >
> > Is this the correct formula for 21 day historical volatility??
> >
> > HistVol = StDev(log(C/Ref(C,-1)),21)*100*sqrt(250);
> >
> >
> > thanks
> >
> > Allan
> >
>
>
>
>
>
__._,_.___
----- Original Message -----
From: loganruns73 <[EMAIL PROTECTED]>
Date: Friday, July 28, 2006 9:53 am
Subject: [amibroker] Re: Historical Volatility
To: [email protected]
> StDev(log(C/Ref(C,-1)),20)*sqrt(251);
>
> --- In [email protected], "matrix10014" <[EMAIL PROTECTED]>wrote:
> >
> > 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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