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historical
volatility = StDev(log(C / Ref(C, -1), period) * sqrt(251) *
100
----- Original Message -----
Sent: Friday, July 13, 2007 8:05
AM
Subject: Re: [amibroker] Re: Volatility vs.
STD?
>
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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> To get support from AmiBroker please send an e-mail directly to
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>
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Please note that this group is for discussion between users only.
To get support from AmiBroker please send an e-mail directly to
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For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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