historical volatility = StDev(log(C / Ref(C, -1), period) * sqrt(251) * 100
----- Original Message ----- From: "cstrader" <[EMAIL PROTECTED]> To: <[email protected]> Sent: Friday, July 13, 2007 8:05 AM Subject: Re: [amibroker] Re: Volatility vs. STD? > Formula attached... > > ----- Original Message ----- > From: "cstrader" <[EMAIL PROTECTED]> > To: <[email protected]> > Sent: Friday, July 13, 2007 7:47 AM > Subject: Re: [amibroker] Re: Volatility vs. STD? > > >> OK, digging deeper I found a can of worms (http://www.sitmo.com/eqcat/4) >> >> Below is a simple formula, although there are others (for instance some >> that >> ignore overnight gaps) >> Anyone might have already coded this in AFL?, or feel like doing it? (my >> patience is too thin today) >> >> However, I found that if I use the the STD divided by the square-root of >> the >> #bars for the year, then I get a figure that seems to mesh with other >> sources. For instance, the 30 and 200 day volatilies of QQQQ using these >> formulas: >> >> VOl200a = StDev(C, 200) / sqrt(265); >> >> Vol30a = StDev(C, 30) / sqrt(265); >> >> turn out to be about .22 and .11 respectively. >> >> Maybe that is close enough? >> >> List of symbols >> >> >> Volatility >> >> >> The closing price on the ith day >> >> n >> Number of historical days used in the volatility estimate >> >> >> Log return on the ith day >> >> Z >> The number of closing prices in a year >> >> >> >> >> >> >> >> >> Historical Close-to-Close Volatility >> >> >> >> >> >> >> >> Historical volatility calculation using close-to-close prices. >> >> >> >> >> ----- Original Message ----- >> From: "vlanschot" <[EMAIL PROTECTED]> >> To: <[email protected]> >> Sent: Friday, July 13, 2007 5:33 AM >> Subject: [amibroker] Re: Volatility vs. STD? >> >> >>> Several points: >>> >>> 1) Usually people use the returns to calculate volatility, not Price, >>> i.e. ROC (C,1) or LN(C/Ref(C,-1)). >>> 2)Strictly speaking, one needs to make a distinction between full >>> population or sample. As far as I know, afl's StDev assumes full >>> population. >>> 3) Volty is usually quoted indeed on an annualised basis. Therefore >>> multiply your calc by the square-root of the #bars for the year, i.e. >>> sqrt (12) if you've calculated in monthly mode, sqrt (256) or sqrt >>> (365) in daily, etc. >>> >>> PS >>> >>> --- In [email protected], "cstrader" <[EMAIL PROTECTED]> wrote: >>>> >>>> Sorry, but what's the difference? Is the annualized volatility of a >>> stock >>>> about the same as STDev(C, 200)? >>>> >>>> Thanks! >>>> >>> >>> >>> >>> >>> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: >>> http://www.amibroker.com/devlog/ >>> >>> For other support material please check also: >>> http://www.amibroker.com/support.html >>> >>> Yahoo! Groups Links >>> >>> >>> >> >> >> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: >> http://www.amibroker.com/devlog/ >> >> For other support material please check also: >> http://www.amibroker.com/support.html >> >> Yahoo! Groups Links >> >> >> >> > > > 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG: > http://www.amibroker.com/devlog/ > > For other support material please check also: > http://www.amibroker.com/support.html > > Yahoo! Groups Links > > > > -------------------------------------------------------------------------------- No virus found in this incoming message. Checked by AVG Free Edition. Version: 7.5.476 / Virus Database: 269.10.4/898 - Release Date: 7/12/2007 4:08 PM
