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Possible cause of the discrepancies may be the use of the sample
standard deviation instead of the population (like AFL StDev) or yet
another, like the non-centered (described in the AT article).
function SD_pop(input,n)
{ return sqrt( (n*Sum(input^2,n)-(Sum(input,n))^2) / n^2 ); }
function SD_sam(input,n)
{ return sqrt( (n*Sum(input^2,n)-(Sum(input,n))^2) / (n^2-n) ); }
function SD_nnc(input,n)
{ return sqrt( Sum(input^2,n) / n ); }
And of course some may use a different default period like 365.
Especially when theta is your thing using the total number of days
may be more accurate, since time decay does progress during weekends
and holidays. For comparison most important would seem to use the
same period in both HV and IV calculations.
--- In amibroker@xxxxxxxxxxxxxxx, "Phsst" <phsst@xxxx> wrote:
> 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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