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player
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Joined: August 5th, 2002, 10:00 am

vol measure

July 7th, 2008, 10:06 am

Does anyone know of a simple way of calculating intra day vol using tick data..eg say i have tick data (bid /ask prices) for a minute on a stock..so say there are 33 prices at the best bid/ask level that were observed on a stock in a minute....What is a good way of measuring intraday volatility given this...ie given what I have observed over this minute what can I say about the daily volatility for this stock
 
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vol measure

July 7th, 2008, 6:27 pm

QuoteOriginally posted by: playerDoes anyone know of a simple way of calculating intra day vol using tick data..eg say i have tick data (bid /ask prices) for a minute on a stock..so say there are 33 prices at the best bid/ask level that were observed on a stock in a minute....What is a good way of measuring intraday volatility given this...ie given what I have observed over this minute what can I say about the daily volatility for this stockIt will tell you next to nothing about the daily volatility, but if you simply want to normalise your time scale in order to compare to average daily volatility, then multiply by sqrt(60*n). Where n is some number of hours that you think represents a day's trading. You can either guess n or substitute the number of actual hours trading, or calibrate it by meauring average minute vols and comparing them to average daily vols over an appropriate number of weeks/months (you choose how many) or...... In other words, it's up to you and your theory!
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