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Hi Christie,
There is a very popular model called the GARCH model. It is used to
estimate volatility and has shown great potential, even in trading
models, and is used a lot nowadays (it was developed in the 80s). You
also get many flavours of 'asymmetric' GARCH models, which you may be
interested in. If you fit a good asymmetric GARCH model to a ticker,
you can use the model to construct the NIC or news impact curve. This
measures, for a piece of 'good' and a similar piece of 'bad' news, the
impact it will have on volatility. So you can see how much volatility
will increase due to a shock on the downside vs a similar shock on the
upside. Have a look at
http://www.ferra4models.com/Shop.html
(which is still under construction) where there are a few NICs to get
an idea of what it does. This from an article published in Risk
magazine some time ago, if you have access to it, I'll give you the
details to get it. This is a very useful device and used by option
traders and risk managers, but also quite complex. If it is what you
are looking for, just read up a bit on it and feel free to ask!
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://www.ferra4models.com
http://fun.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, "christie1969us"
<christie1969us@xxxx> wrote:
>
>
> This is interesting. From reading the article there seems to be a
> time element as well. A security being low for 2 days would have a
> higher ulcer index than just 1 day.
>
> Christie
>
>
> --- In equismetastock@xxxxxxxxxxxxxxx, "deepfoobar"
> <deepfoobar@xxxx> wrote:
> >
> > I had this laying around but in truth have never used it.
> >
> > ----
> > {Ulcer Index Formula}
> >
> > Period:=10; {set this to the number of periods to calculate in the
> > formula}
> > Sqrt(Sum(Power(100*( HHV(CLOSE,Period) - CLOSE )/(HHV(CLOSE,
> > Period)),2),Period)/Period)
> >
> > ----
> > There is a description here of what it is meant to do.
> >
> > http://www.investopedia.com/articles/technical/03/030403.asp
> >
> > --- In equismetastock@xxxxxxxxxxxxxxx, "christie1969us"
> > <christie1969us@xxxx> wrote:
> > >
> > >
> > > I have heard of the ulcer index. As I understand it, the problem
> > with
> > > Beta is that it measures volatility to both the upside and
> > downside.
> > > We do not mind volatility to the upside.
> > >
> > > Is this what the ulcer index is and how is it coded?
> > >
> > > Christie
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