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HistVolatility = 100 *StdDev(log(C/Ref(C,-1)), Period) * SquareRoot
(365)
rgds, Pal
--- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> 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
> >
> >
> >
> >
> >
> >
> >
> --------------------------------------------------------------------
--------
> > ----
> > Louw-Roux Coetzer - louwcoetzer@xxxx
> >
> > This e-mail message and all documents which accompany it are
> intended
> > only for the use of the individual or entity to which addressed,
and may
> > contain privileged or confidential information. Any unauthorized
> disclosure
> > or distribution of this e-mail message is prohibited.
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