Calculating Historical Volatility

[frankc]

Hi,

In a rage of confusion and frustration, I set out to figure out how Historic Volatility (HV) is calculated. I couldn't find clear and correct guidance in forums, so I decided to pull the ideas and examples from other places and write my own explanation of how to calculate HV.

Attached is the PDF. Please let me know if I have done something wrong, something could be better, or any questions/comments.

Thank you,

Frank

 

[CTang]

Hi,

I think you'll find this link incredibly useful.

Equation: Historical Open-High-Low-Close Volatility: Yang Zhang - SITMO

There are numerous published methods for calculating historical volatility. Pick the one that serves you + your instrument best.

 

[Bastian Gross]

This seems to be quite good, Frank!