On 3/10/2016 7:09 PM, 'U.Mutlu' um4711@mutluit.com [amibroker] wrote:
The formula uses the correct method. Volatility is usually calculated
exactly like in the code: stddev over the ln's...
And the following relation is also true:
ln(y / x) == ln(y) - ln(x)
Alan alan@thenorthams.us [amibroker] wrote on 03/10/2016 10:37 PM:
> U.Mutlu: The equation you are using to calculate Historical Volatility is not
> correct. In your equation you are, in effect, taking the natural log of the
> natural log of the array. Historical Volatility only takes the natural log of
> the array. The function StDev(array,period) already takes the natural log of
> the array so it is incorrect to include it as part of the array. -Alan
>
> On 3/10/2016 3:02 PM, 'U.Mutlu' um4711@mutluit.com [amibroker] wrote:
>>
>> I think of all the presented functions here (btw many thx to all),
>> the function in the original posting seems to be the most accurate one
>> as sometimes the difference can be about a whoppy 1%...
>> Here's an extended and optimized version of it:
>>
>> function my_vola(APriceArr, APeriod, ADaysInYear)
>> { // DaysInYear should be 252 for stocks
>> return StDev(ln(APriceArr) - ln(Ref(APriceArr, -1)), APeriod)
>> / sqrt(1 / ADaysInYear) * 100;
>> }
>>
>> rosenberggregg@yahoo.com [amibroker] wrote on 03/10/2016 05:16 PM:
>> > Hi, it's not built in. Below is the function I use. It's a little more
>> flexible than yours and will be quicker because it uses the built-in ROC
>> function instead of looping. You can add in ln yourself to wrap the ROC.
>> >
>> > function Volatility_afl(watchListName, sourceArray, measurePeriod,
>> reportPeriod) { //begin Volatility
>> > //Calculates volatility over a measuring period and reports it back scaled
>> to reporting period
>> >
>> > dailyChg = ROC(sourceArray, 1, true);
>> > result = StDev(dailyChg, measurePeriod)*sqrt(reportPeriod);
>> >
>> >
>> > return Nz(result);
>> > } //end Volatility
>>
>>
>
Posted by: Alan <alan@thenorthams.us>
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