Just remembered that the VIX is now calculated on the S&P500. A price series for this can be found at http://finance.yahoo.com/q/hp?s=%5EGSPC .
On 6/7/07, Devon McCormick <[EMAIL PROTECTED]> wrote:
... In any case, what answer do you get for the volatility of your made-up data? Even better, if you go to http://finance.yahoo.com/q/hp?s=%5EOEX , you can download historical high, low, open and close data for the S&P 100 index (OEX) and run the calculation on real numbers. You can then do a sanity check on the results of your calculation by comparing them to the values of the VIX - the volatility index on the OEX. You can get VIX data at http://finance.yahoo.com/q/hp?s=%5EVIX . ...
-- Devon McCormick, CFA ^me^ at acm. org is my preferred e-mail ---------------------------------------------------------------------- For information about J forums see http://www.jsoftware.com/forums.htm
