|
PureBytes Links
Trading Reference Links
|
I have compared historic volatility as calculated
by the Metastock formula
Std(Log(C/Ref(C,-1)), X)*Sqrt(365)*100
with the values published at another source and
found disparities. Can anyone offer an
explanation? Examples follow:
Differences in the March beans are pronounced:
MS hisvol(7) = 10.46
PMoptions page “1-week” hisvol = 8.44
MS hisvol(90) = 26.76
PMoptionspage “3-month” hisvol = 16.52
Differences in December CD are less striking:
MS hisvol(7) = 4.02
PMoptions page “1-week” hisvol = 4.26
MS hisvol(90) = 10.78
PMoptions page “3-month” hisvol = 11.17
An email inquiry to the PMoptions page has not
been answered.
. . . while we’re at it, does anybody know of
other free sources for hisvol on the web?
Philip
|