Historic Volatility Functions

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Historic Volatility Functions

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Calculate the historical annualized volatility of an asset based on historic price samplings. There are four calculation models available: Close-Close, High-Low, High-Low-Close, and High-Low-Open-Close.

 

 

VolatilityCloseToClose

(ClosePrice, Frequency)

 

Argument

Description

ClosePrice

An array or range of closing prices. The frequency of the closing prices must correlate to the value specified in the Frequency argument.

Frequency

Alphanumeric value indicating the number of trading days per interval in the price range.

 

 

VolatilityHighLow

(HighPrice, LowPrice, Frequency)

 

Argument

Description

HighPrice

An array or range of high prices. The frequency of the high prices must correlate to the value specified in the Frequency argument. The same number of sample points must be in the two ranges.

LowPrice

An array or range of low prices. The frequency of the low prices must correlate to the value specified in the Frequency argument. The same number of sample points must be in the two ranges.

Frequency

Alphanumeric value indicating the number of trading days per interval in the price ranges.

 

 

VolatilityHighLowClose

(HighPrice, LowPrice, ClosePrice, Frequency)

 

Argument

Description

HighPrice

An array or range of high prices. The frequency of the high prices must correlate to the value specified in the Frequency argument. The same number of sample points must be in the three ranges.

LowPrice

An array or range of low prices. The frequency of the low prices must correlate to the value specified in the Frequency argument. The same number of sample points must be in the three ranges.

ClosePrice

An array or range of closing prices. The frequency of the closing prices must correlate to the value specified in the Frequency argument. The same number of sample points must be in the three ranges.

Frequency

Alphanumeric value indicating the number of trading days per interval in the price ranges.

 

 

VolatilityHighLowOpenClose

(HighPrice, LowPrice, OpenPrice, ClosePrice, Frequency, Lambda)

 

Argument

Description

HighPrice

An array or range of high prices. The frequency of the high prices must correlate to the value specified in the Frequency argument. The same number of sample points must be in the four ranges.

LowPrice

An array or range of low prices. The frequency of the low prices must correlate to the value specified in the Frequency argument. The same number of sample points must be in the four ranges.

OpenPrice

An array or range of open prices. The frequency of the open prices must correlate to the value specified in the Frequency argument. The same number of sample points must be in the four ranges.

ClosePrice

An array or range of closing prices. The frequency of the closing prices must correlate to the value specified in the Frequency argument. The same number of sample points must be in the four ranges.

Frequency

Alphanumeric value indicating the number of trading days per interval in the price ranges.

Lambda

Alphanumeric value indicating the volatility decay factor or smoothing constant, which puts more emphasis on newer points than older points. If omitted, a value of 2/3 is used.

 

 

See Also

Interpolation

 

 

Remark

For a further example on this model see the included Excel Template located in the root directory of the add-in. This example can be accessed through the Utility Template menu item after the add-in has been installed properly.

 

A list of all of the possible Error Messages is included for convenience.