Re: [amibroker] Re: statistical volatility function

Coolman 13.37

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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