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@xxxxxxxxxps.com,
"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@xxxxxxxxxps.com>
> 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@xxxxxxxxxps.com,
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?
> >
>
>
>
>
------------------------------------
>
> ****
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
> SUPPORT
{at} amibroker.com
>
> TO SUBMIT SUGGESTIONS please use FEEDBACK
CENTER at
> http://www.amibroker.com/feedback/
> (submissions sent via other channels won't be considered)
>
> For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> http://www.amibroker.com/devlog/
>
> Yahoo! Groups Links
>