Re: [amibroker] Historical Volatility

[Jason Hart <jayhart_1972@xxxxxxxxx>]

Allan has it right - there are only 250-260 trading days in the year so the 250 days is about right
   
  

wavemechanic <fimdot@xxxxxxxxx> wrote:
            If you are looking for the annual historical volatility use all days or sqrt(365).
   
  Bill
   
  ----- Original Message -----   From: "matrix10014" <allansn@xxxxxxxxxxxxx>
  To: <amibroker@xxxxxxxxxxxxxxx>
  Sent: Monday, July 24, 2006 8:52 PM
  Subject: [amibroker] Historical Volatility

  

> 
> Hi,
> 
> Is this the correct formula for 21 day historical volatility??
> 
> HistVol = StDev(log(C/Ref(C,-1)),21)*100*sqrt(250);
> 
> 
> thanks
> 
> Allan
> 
> 
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> 
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> 
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