Click here to Login








Rogers-Satchell Volatility Estimator

by The trader, 5446 days ago
Share |






The Rogers-Satchell function is a volatility estimator that outperforms other estimators when the underlying follows a geometric Brownian motion (GBM) with a drift (historical data mean returns different from zero).

As a result, it provides a better volatility estimation when the underlying is trending.
However, this Rogers-Satchell estimator does not account for jumps in price (Gaps). It assumes no opening jump.
The function uses the open, close, high, and low price series in its calculation and it has only one parameter, which is the period to use to estimate the volatility.

Other Volatility Estimator:
Close-to-Close Estimator (QuantShare formula: Stddev)
Parkinson Estimator (Historical High-Low Volatility: Parkinson)
Garman-Klass Estimator (Garman-Klass Volatility Estimator)


Share This ->
Share |


You have to log in to bookmark this object
What is this?
Additional Information




Type: Trading Indicator

Object ID: 192


Country:
All

Market: Stock Market

Style:
Technical Analysis

Reviews
You must log in first

Join now
and get instant access for free to the trading software, the Sharing server and the Social network website.
Click here


Related objects

Empty

Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object

Technical Analysis


Fundamental Analysis



Random Blog Posts

Sharpe Ratio - Part 1

How to speed up quotes and news downloads

The 'inside period' function

How to use date components in your trading rules

Quantshare version 1.4

Programming skills are not that important

Looking for trading ideas

A vector-based language

Show All

Number of reviews
Click to add a review
Average rate
Click to rate this item
Number of times this object was downloaded
Number of rates the current object received
Report an object
if you can't run it for example or if it contains errors
Click to report this object






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.