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will the following give 10 period volatility in 5 min bars
timeframeset(in5minute);
hv10 = StDev(log(C / Ref(C, -1), 10));
timeframerestore();
thanks
--- In amibroker@xxxxxxxxxxxxxxx, "cstrader" <cstrader232@xxx> wrote:
>
> Lovely... thank you
>
>
> ----- Original Message -----
> From: wavemechanic
> To: amibroker@xxxxxxxxxxxxxxx
> 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 -----
> From: "cstrader" <cstrader232@xxx>
> To: <amibroker@xxxxxxxxxxxxxxx>
> Sent: Friday, July 13, 2007 8:05 AM
> Subject: Re: [amibroker] Re: Volatility vs. STD?
>
>
> > Formula attached...
> >
> > ----- Original Message -----
> > From: "cstrader" <cstrader232@xxx>
> > 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@xxx>
> >> 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@> 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:
> > http://www.amibroker.com/support.html
> >
> > Yahoo! Groups Links
> >
> >
> >
> >
>
>
>
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>
Please note that this group is for discussion between users only.
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For other support material please check also:
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