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Formula attached...
----- Original Message -----
From: "cstrader" <cstrader232@xxxxxxxxxxxx>
To: <amibroker@xxxxxxxxxxxxxxx>
Sent: Friday, July 13, 2007 7:47 AM
Subject: Re: [amibroker] Re: Volatility vs. STD?
> 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
>
>
>
>
Please note that this group is for discussion between users only.
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