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Ronald,
Would this give me the volatility figure that is relatively similar to
the VIX indicator for the OEX? Or is this just a historical volatility?
JS
--- Ronald McEwan <rmac@xxxxxxxx> wrote:
> In a spreadsheet(Excel) with data to be analyzed put
> the following
>
> column
> A1 date
> B1 data(ie. close)
> C2 =LN(todays data / previous days data)^2
> D7 =sqrt(256/5*sum(C2:C7))
>
> copy down
>
> the 5 in 256/5 is for a five day volatility
> calculation (as well as the
> five day range c2:c7)
> this will have to be adjusted for your time frame.
> Its not perfect but it
> will tell you where volaltility is going and you can
> adjust it for your
> own time frame.
> This is the easy part, trying to figure out the
> time period to use is
> the hard part. I am currently using 6 days for the
> OEX.
>
> Good Luck
> Ron McEwan
>
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