RE: Speaking of volatility

[Bob Perry <bobperry@xxxxxxxxxxx>]

Thomas,

Thanks for the post.  I am fascinated by linear regression and
non-linear regressive types of analysis, along with statistical methods
of probablity distribution.  I will check out your volitility function
in my spare time.  I, however, am puzzled by the hard coded
"15.93737745".  Is this some type of annualization coefficient?

Thanks!
Bob Perry
San Jose, CA


Thomas Alexander  wrote:

<snip>
But, there was one great improvement that I found which I coded in
EasyLang
that worked well and did impart new information. That was a volatility
calculation by Rodgers and Satchell using open, high, low and close
values.
<snip>

VolatilityOHLC = SquareRoot(Summation(Vara, NmbrDays) / SampleDays) *
15.93737745;
end else
        VolatilityOHLC = Vlty1Day;