Not that it matters that much, but maybe. I looked into this issue last year and settled on using one day less than the actual length because you're already comparing a day in the initial calculation.
And there are now 9 U.S. market holidays per year (52*5=260-9=251). Logan --- In [email protected], [EMAIL PROTECTED] wrote: > > 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 > 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" 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 > > > > > > > > > > > > > > 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/
