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Re : Volatility (alternate)



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Dans un courrier daté du 17/02/98 04:16:55  , vous avez écrit :

<< You avoided the one day lag in Mark's approach by computing
 c/c[1], where Mark's logic used the equivalent of c[1]/c[2].
 >>
OK...
<<
 Why the test for recvola>1?  Just an input error check?
 >>
Negative recvola was used later in the code, and I forgot to remove the error
check.

<<
 Why did you use Close (C) above, instead of an input numeric series?
 >>
You can use what you want (but the code was from an indicator that I quickly
transformed to an UF).

<<
 Why do you and Mark recode StdDev(), rather than use it directly?
 This looks a lot simpler to me:
     Value1 = log(c/c[1]);
     Srvola = 100 * stddev(Value1, recvola);
  >>

There is a mistake in Stddev Omega function (in fact they use N instead of N-1
as a divisor, so this is not the commonly used StdDev that they use).

Sincerely,

Pierre Orphelin.