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Find out from PM options how many time periods they use in the
calculation of a year. This formula uses 365 days. Others use
different values. No one seems to agree on just how many time periods
should be used. Natenberg believes 365 time periods (a calendar year).
Others believe you use trading days. The differences can be
significant.
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-----Original Message-----
From: Philip Schmitz [mailto:pschmi02@xxxxxxxxxxx]
Sent: Monday, October 26, 1998 10:33 AM
To: metastock@xxxxxxxxxxxxx
Subject: Hisvol disparities
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
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