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

["wavemechanic" <fimdot@xxxxxxxxxxxxxx>]

There are several ways of calculating and each is a bit different.  If you want to duplicate iVolatility why not start with their formulation?

 

http://www.ivolatility.com/help/2.html#hv

----- Original Message -----

From: Potato Soup

To: amibroker@xxxxxxxxxxxxxxx

Sent: November 13, 2009 10:27 PM

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

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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