Click here to Login





                                                   Historical volatility

Back to threads
  0

0
Ajan
2013-05-30 07:35:09


How can the historical volatility be calculated and plotted on a pane?


QuantShare
2013-05-30 10:30:10

  0

Historical volatility can be calculated using the "Stddev" indicator (Standard Deviation)


allan nathan
2013-06-08 15:54:11

  0

Best Answer
you can try this for 21 day Historical Vol.Just create a new Formula

Days = Param("Days", 21, 21);
logchange=log(close/Ref(close,1));
sdlogchange=stddev(logchange,21);
HisVol=sdlogchange*100*sqrt(252);
Plot(HisVol,"HVol",colorBlue,ChartLine);


No more messages
0




Reply:

No html code. URLs turn into links automatically.

Type in the trading objects you want to include: - Add Objects
To add a trading object in your message, type in the object name, select it and then click on "Add Objects"





QuantShare

Trading Items
HV - Historical Volatility
VolDex Implied Volatility Index - Historical Data
Implied Volatility of iPath ETNs - IV Historical Data
Historical volatility regimes
Yang Zhang extension of the Garman-Klass Volatility Estimator
How-to Lessons
How to download historical quotes of indices
How to download historical EOD data for penny stocks
How to add trades from one portfolio to another one
How to download EOD quotes for active and valid stocks only
How to import trading data from CSV files

Related Forum Threads
Historical Volatility
Unable to downlod Hang Seng index historical prices
Delisted Historical Prices?
historical analysis
Historical fundamental data for delisted stocks
Blog Posts
Historical volatility estimators
Rules performance for different volatility regimes
How to make sure your Historical Price Data is Split Adjusted
Forecast volatility using trading rules and neural networks
Automatically create historical quotes charts









QuantShare
Product
 QuantShare
Features
Create an account
Affiliate Program 		Support
Contact Us
Trading Forum
How-to Lessons
Manual 		Company
About Us
Privacy
Terms of Use
Copyright © 2024 QuantShare.com
 Social Media
Follow us on Facebook
Twitter Follow us on Twitter
Google+ Follow us on Google+
RSS Trading Items



Trading financial instruments, including foreign exchange on margin, carries a high level of risk and is not suitable for all investors. The high degree of leverage can work against you as well as for you. Before deciding to invest in financial instruments or foreign exchange you should carefully consider your investment objectives, level of experience, and risk appetite. The possibility exists that you could sustain a loss of some or all of your initial investment and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with trading and seek advice from an independent financial advisor if you have any doubts.