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Depends what you are doing. 250 is used for stocks and 365 for options. I assumed options which is where historical volatility is used routinely. I should have indicated my assumption for clarity.
----- Original Message -----
From: Jason Hart
To: amibroker@xxxxxxxxxxxxxxx
Sent: Monday, July 24, 2006 10:30 PM
Subject: Re: [amibroker] Historical Volatility
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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