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Perhaps this will help:
Formula For Calculating A Stock's Volatility Using a Lognormal Distribution
Xi = ln[Pi divided by ((1+r)/52))Pi-1]
Where:
Xi = each price change
Pi = price of the underlying security at the end of the i-th period
r = risk free interest rate (We are using weekly data in this formula.
For daily data use 253)
Step two is to calculate the standard deviations lognormal for the data
series. This would be the price changes for the period under
consideration. For example, using weekly data, we would calculate the
above calculation for each week for at least 14 weeks.
Step 3 is to sum the answer for each calculation in step 2 and divide by
14. This gives us the mean.
In Step 4 we subtract each calculation from the mean.
In Step 5 we square each number from step 4 and add them all together.
Step 6 The annualized historic volatility is the answer from step 4 X
the square root of (365/7)
This entire calculation is easily set up in a spreadsheet like Excel.
Additionally, good technical analysis software will usually perform this
calculation. In OptionVue 4, which is a software product dealing
specifically with options and futures, the historical and implied
volatility are both displayed for each strike.
An easier way to calculate volatility is simply to take the standard
deviation of the lognormal return. In Excel the formula is easily
calculated.
If column A has the closing prices, column B should contain the
equation, =ln(B3/B2)
Column C should then use at least 10 periods and it would look like
this: =stdev(B3:B13)
The resulting answer will be the standard deviation of the lognormal
return.
In both columns B and C you can drag the formula all the way down the
column.
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It is quoted fromthis site:
http://www.e-analytics.com/vol.htm
Ron
Roy Larsen wrote:
>Doug
>
>I don't have anything useful that I can offer for this.
>
>Roy
>
>
>----- Original Message -----
>From: "Doug Conwell" <conwell@xxxxxxxxxx>
>To: <equismetastock@xxxxxxxxxxxxxxx>
>Sent: Thursday, November 13, 2003 5:09 PM
>Subject: [EquisMetaStock Group] formula question
>
>
>Question for Roy or others who have this knowledge. Do youknow of an end of
>day formula that will provide the volitility of a stock over a defined
>period of time? What can be added to this formula that will provide the
>price range for this defined period of time? Any thoughts?
>Doug
>
>
>
>
>To unsubscribe from this group, send an email to:
>equismetastock-unsubscribe@xxxxxxxxxxxxxxx
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>Your use of Yahoo! Groups is subject to http://docs.yahoo.com/info/terms/
>
>
>
>
>
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