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Louw,
Just a guess, but should you be using 360 instead of 265 for
annualized calendar day calculations?
ie. HVvalue=StDev(log(C/Ref(C,-1)),90)*sqrt(360)*100;
This would raise the resulting values a bit.
Regards,
Phsst
--- In amibroker@xxxxxxxxxxxxxxx, "Louw-Roux Coetzer"
<louwcoetzer@xxxx> wrote:
> ECM StationaryHi all !
>
>
>
> Could someone please let me know if there is a different or correct
way for
> that matter to calculate a 90 Historic volatility of a
share...currently I
> am using this formula:
>
>
>
> HVvalue=StDev(log(C/Ref(C,-1)),90)*sqrt(265)*100;
>
> Somehow the answer never seems to be the same as any of our warrant
issuers
> and always seem to be a little less actually.
>
>
>
> Any suggestions would be greatly appreciated !
>
>
>
> Kind regards
>
>
>
>
>
> Louw
>
>
>
>
>
>
>
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