Hi,
does there already exist a statistical volatility function in AB
for calculating the historical volatility?
The word "volatility" is multiple times present in the help-system,
but I think it means other uses.
I simply mean the stddev of natural logithms of the returns over a period,
annualized; ie. that what is the standard in the industry.
For this I'm currently using the following AFL-function of mine,
but was wondering if there is already an equivalent built-in func
for this that I maybe have overlooked when searching:
function my_volatility(Period, DaysInYear)
{ // DaysInYear should be 252 for stocks
local x;
x = 0;
for (i = 1; i < BarCount; ++i)
x[i] = ln(Close[i] / Close[i - 1]);
return StDev(x, Period) / sqrt(1 / DaysInYear) * 100.0;
}
If it doesn't exist yet, then I would suggest to add it into
the built-in core functions of AB.
--
Thx
Posted by: "U.Mutlu" <um4711@mutluit.com>
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