On Mon, Dec 26, 2011 at 3:13 PM, algotr8der <algotr8...@gmail.com> wrote: > 1) Garman-Klass volatility as defined by Euan Sinclair in his book > "volatility trading" on page 23: > > http://oneryng.com/library/ViolatilityTrading.pdf > > Cl1 <- lag(OHLC[, 4]) > s <- sqrt(N/n * runSum(0.5 * log(OHLC[, 2]/OHLC[, 3])^2 - (2 * > log(2) - 1) * log(OHLC[, 4]/Cl1)^2, n)) > > In the volatility function in the TTR package has (defined by the sitmo > website): > > http://web.archive.org/web/20081224134053/http://www.sitmo.com/eq/402 > > s <- sqrt(N/n * runSum(0.5 * log(OHLC[, 2]/OHLC[, 3])^2 - (2 * > log(2) - 1) * log(OHLC[, 4]/OHLC[, 1])^2, n)) > > The difference is with the last term i.e. OHLC[,1] - today's open is used in > the denominator in the TTR package rather than yesterday's close (Cl1). I > have read various documents that use the same definition as Dr. Sinclair. > Which is correct and why? > > 2) Yang Zhang volatility as defined by Euan Sinclair in his book "volatility > trading" on page 24-25 : > > k <- 0.34/(1 + (n + 1)/(n - 1)) > s2o <- N/(n - 1) * runSum(log(OHLC[, 1]/Cl1), n))^2 > s2c <- N/(n - 1) * runSum(log(OHLC[, 4]/OHLC[, 1]), n))^2 > s2rs <- volatility(OHLC = OHLC, n = n, calc = "rogers.satchell", N = > N, ...) > s <- sqrt(s2o + k * s2c + (1 - k) * (s2rs)^2, n) > > > But the volatility function in the TTR package has: > > http://web.archive.org/web/20081224134117/http://www.sitmo.com/eq/417 > > k <- 0.34/(1 + (n + 1)/(n - 1)) > s2o <- N/(n - 1) * runSum(log(OHLC[, 1]/Cl1) - 1/n * > runSum(log(OHLC[, 1]/Cl1), n))^2 > s2c <- N/(n - 1) * runSum(log(OHLC[, 4]/OHLC[, 1]) - > 1/n * runSum(log(OHLC[, 4]/OHLC[, 1]), n))^2 > s2rs <- volatility(OHLC = OHLC, n = n, calc = "rogers.satchell", > N = N, ...) > s <- s2o + k * s2c + (1 - k) * s2rs > > There are multiple differences - firstly the mean of the uo and uc are not > present in Dr. Sinclair's version and moreover the last term in the TTR > package seems to add a standard deviation (s2rs) with 2 variance > calculations (s2c and s2o). > > I would greatly appreciate if someone can comment on which versions are > correct. Thank you. > The calculations in most recent revisions on R-forge match the original papers. I can't comment on Euan Sinclair's calculations.
Best, -- Joshua Ulrich | FOSS Trading: www.fosstrading.com _______________________________________________ R-SIG-Finance@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.