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For stocks many use the ratio of volatilities (e.g., HistVol(7) / HistVol(100)) so the number of trading days drops out. Options are a different story.
----- Original Message -----
From: Bob Jagow
To: amibroker@xxxxxxxxxxxxxxx
Sent: Tuesday, July 25, 2006 12:04 AM
Subject: RE: [amibroker] Historical Volatility
FWIW Landry and crew use sqrt(256).
-----Original Message-----
From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx]On Behalf Of MailYahoo
Sent: Monday, July 24, 2006 7:49 PM
To: amibroker@xxxxxxxxxxxxxxx
Subject: RE: [amibroker] Historical Volatility
Yes the majority of the annual signal will run on 252 bars ( trading days)
Mark
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From: amibroker@xxxxxxxxxxxxxxx [mailto:amibroker@xxxxxxxxxxxxxxx] On Behalf Of Jason Hart
Sent: Monday, July 24, 2006 10:31 PM
To: amibroker@xxxxxxxxxxxxxxx
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
>
>
>
>
>
>
> Please note that this group is for discussion between users only.
>
> To get support from AmiBroker please send an e-mail directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
> Yahoo! Groups Links
>
>
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