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Been playing with HV Calcs this weekend using following AFL code:
per = Param( "Volatility Period", 20, 2, 365 );
days = Param("History days in Calc", 252,1,365);
Plot(100*StDev(log(C/Ref(C,-1)),per)*sqrt(days),"Volatility",3,1);
NOTE: 'days' default represents number of trading days in year rather
than calendar days. (Don't split hairs about anything between 250 and
256, since none of those values changes things much)
Example code was applied to GE daily chart and yields an HV 20day
result of 8.98457 using default Params.
I've researched enough to feel comfortable with the formula and Params
which were posted on this forum quite a long time ago.
But when I go to three (3) different web sites which are reputed to be
'expert' sites, I see three different values for current Historical
Volatility (all of which differ from my calculated result).
www.optionclub.com shows HV 20day value of 12.0
www.optionstrategist.com shows HV 20day value of 10
www.ivolatility.com shows HV 20day value of 13.74
Beats me how a universally accepted formula can yield such a diverse
set of results.
Anyone see anything obvious?
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