|
PureBytes Links
Trading Reference Links
|
OK, digging deeper I found a can of worms (http://www.sitmo.com/eqcat/4)
Below is a simple formula, although there are others (for instance some that
ignore overnight gaps)
Anyone might have already coded this in AFL?, or feel like doing it? (my
patience is too thin today)
However, I found that if I use the the STD divided by the square-root of the
#bars for the year, then I get a figure that seems to mesh with other
sources. For instance, the 30 and 200 day volatilies of QQQQ using these
formulas:
VOl200a = StDev(C, 200) / sqrt(265);
Vol30a = StDev(C, 30) / sqrt(265);
turn out to be about .22 and .11 respectively.
Maybe that is close enough?
List of symbols
Volatility
The closing price on the ith day
n
Number of historical days used in the volatility estimate
Log return on the ith day
Z
The number of closing prices in a year
Historical Close-to-Close Volatility
Historical volatility calculation using close-to-close prices.
----- Original Message -----
From: "vlanschot" <vlanschot@xxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, July 13, 2007 5:33 AM
Subject: [amibroker] Re: Volatility vs. STD?
> Several points:
>
> 1) Usually people use the returns to calculate volatility, not Price,
> i.e. ROC (C,1) or LN(C/Ref(C,-1)).
> 2)Strictly speaking, one needs to make a distinction between full
> population or sample. As far as I know, afl's StDev assumes full
> population.
> 3) Volty is usually quoted indeed on an annualised basis. Therefore
> multiply your calc by the square-root of the #bars for the year, i.e.
> sqrt (12) if you've calculated in monthly mode, sqrt (256) or sqrt
> (365) in daily, etc.
>
> PS
>
> --- In amibroker@xxxxxxxxxxxxxxx, "cstrader" <cstrader232@xxx> wrote:
>>
>> Sorry, but what's the difference? Is the annualized volatility of a
> stock
>> about the same as STDev(C, 200)?
>>
>> Thanks!
>>
>
>
>
>
> 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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
> Yahoo! Groups Links
>
>
>
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 NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
http://www.amibroker.com/devlog/
For other support material please check also:
http://www.amibroker.com/support.html
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/amibroker/
<*> Your email settings:
Individual Email | Traditional
<*> To change settings online go to:
http://groups.yahoo.com/group/amibroker/join
(Yahoo! ID required)
<*> To change settings via email:
mailto:amibroker-digest@xxxxxxxxxxxxxxx
mailto:amibroker-fullfeatured@xxxxxxxxxxxxxxx
<*> To unsubscribe from this group, send an email to:
amibroker-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|