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[amibroker] Re: Trying to plot historical volatility with AFL



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Thanks, I think your formula is correct, except you should be multiplying by 260, not 365, since 260 reflects actual trading days.

See here: http://www2.barchart.com/support/learning.asp?what=hisvol&code=BSTK

When I change your formula to 260, the results look very close to what is found on IVolatility.com. Let me know what you think.

--- In amibroker@xxxxxxxxxxxxxxx, "Anthony Faragasso" <ajf1111@xxx> wrote:
>
> here is how I calculate Historical volatility: ( 20 period )
> 
> hv1=20;
> vl= StDev(log(C/Ref(C,-1)),hv1)*sqrt(365); 
> 
>   ----- Original Message ----- 
>   From: Potato Soup 
>   To: AmiBroker (Discussion List) 
>   Sent: Saturday, November 14, 2009 9:33 AM
>   Subject: Re: [amibroker] Re: Trying to plot historical volatility with AFL
> 
> 
>     
>   Thx but they are showing historical or realized volatility, not implied as far as I can tell. 
> 
>   More to the point is what I'm doing correct or are there other preferred methods of calculating historical volatility? 
> 
>   -----Original Message----- 
>   From: "dbwyatt_1999" <dbw451@xxx> 
>   Date: Sat, 14 Nov 2009 14:01:24 
>   To: <amibroker@xxxxxxxxxxxxxxx> 
>   Subject: [amibroker] Re: Trying to plot historical volatility with AFL 
> 
> 
> 
>   I'm not familiar with ivolatility.com, but I would guess they are calculating an implied volatility based on closing SP option prices using an option pricing model like Black-Scholes. 
> 
>   Regards, 
> 
>   David 
> 
> 
>   --- In amibroker@xxxxxxxxxxxxxxx, Potato Soup <potatosoupz@> wrote: 
>   > 
>   > I'm trying to plot the 30 day historical volatility of the S&P 500, using the following AFL on a daily chart with around 2 years of end of day prices for the S&P 500: 
>   > 
>   > Plot(StDev(Close, 30),"Historical Volatility", colorOrange,styleLine); 
>   > 
>   > However when I look at the values, they appear to be a bit off to what I see when I look online here: 
>   > 
>   > http://www.ivolatility.com/options.j?ticker=SPX:CBOE&R=1&period=12&chart=2&vct= 
>   > 
>   > For today they have 18.99, where as my chart shows 19.348. All my other values going back further don't match their chart either. Any ideas, are they calculating it differently than just a simple standard deviation? 
>   > 
> 
> 
> 
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------------------------------------

**** IMPORTANT PLEASE READ ****
This group is for the discussion between users only.
This is *NOT* technical support channel.

TO GET TECHNICAL SUPPORT send an e-mail directly to 
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TO SUBMIT SUGGESTIONS please use FEEDBACK CENTER at
http://www.amibroker.com/feedback/
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