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                                                   Historical volatility

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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

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


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

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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);


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