will the following give 10 period volatility in 5 min bars timeframeset(in5minute); hv10 = StDev(log(C / Ref(C, -1), 10)); timeframerestore();
thanks --- In [email protected], "cstrader" <[EMAIL PROTECTED]> wrote: > > Lovely... thank you > > > ----- Original Message ----- > From: wavemechanic > To: [email protected] > Sent: Friday, July 13, 2007 1:22 PM > Subject: Re: [amibroker] Re: Volatility vs. STD? > > > 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" <cstrader232@> 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 >
