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Lovely... thank you
----- Original Message -----
Sent: Friday, July 13, 2007 1:22 PM
Subject: Re: [amibroker] Re: Volatility
vs. STD?
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. > > 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: >
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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
SUPPORT {at} amibroker.com
For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
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