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Pete -
Have you calculated historical volatility? If you want to calculate
daily historical volatility, do the following:
(1) Obtain daily closing prices for the market your following
(2) Divide today's close by yesterday's close to get the price
relative (the percentage price change)
(3) After you have taken a sufficient number of days (let's say 90) and
have obtained the price relative for each day, take the standard
deviation of that price relative series and there's the daily historical
volatility.
(4) You can convert daily historical volatility into monthly historical
volatility by multiplying daily historical volatility by the square root
of 20 (there being 20 trading days in a month).
(5) You can convert daily historical volatility into annual historical
volatility by multiplying daily historical volatility by the square root
of 250 (there being roughly 250 trading days in a year).
As you probably know, volatility increases over time by the square root
of the time period. Hope this helps!
Mike Strupp
M.S. Candidate, Financial Markets & Trading
Illinois Institute of Technology
http://www.stuart.iit.edu/fmt
peter wrote:
>
> My fellow RT'ers
> I would like your thoughts on a matter.
> I have been working an analysis study (statistical) on the S&P cash
> market, & require a volatility figure for the market. I know the
> appropriate answer I seek due to interpolating the analysis & working
> backwards in a sense.
> This volatility figure is around 11-14% , is calculated daily, & is
> stable around the 11-14% range every day. In fact it is stable at
> around 11-14% even on a weekly , monthly & yearly basis. ie weekly
> volatility figure is 11-14% itself etc
> The problem is that I dont know the calculation of it.
> I have tried ATM implied volatility of S&P options,variance, SD on
> cash & confidence intervals, etc & some other obscure ones, but they
> are all to high so they are not the basis of the calaulation that I am
> looking for..
> Basically, do you know of any volatilty calculation which fits the
> above parameters which I have mentioned. It may not even be of a
> statistical nature but could also be TA based.
> The volatility figure also is between 11-14% on other markets on a
> daily basis such as the hangseng, & xau. It also is at that level
> when I consider weekly, monthly & yearly data. So, although the
> figure changes daily, it is a stable figure of around 11-14% on
> multiple markets & on multiple time frames.
> In essence the volatility figure serves as an adjustment factor to to
> enable the calculation of the markets true data structure.
> ANY suggestions or advive would be most appreciated
> Peter Karaguleski
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