Historical Volatility in Excel

9827579 · July 23rd, 2004, 12:39 pm

I am trying to calculate historical volatility using high/low/closing prices. On page 60 of the book by Paul on QF there is a formula.But when I use this formula in Excel and compare it to the HV based on closing prices it doesn't seem right! Using high/low/closing gives me a HV about half the HV from closing prices. What am I doing wrong? Other question: hasn't anybody got a HV formula in Excel or VBA code to implement in Excel?Thanx

9827579 · July 26th, 2004, 7:51 am

Nobody using Excel anymore?

Paka · July 27th, 2004, 2:12 am

9827579:Volatility calculated from H/L/C and just C will be different, but I do not know how much a differnece is considered reasonable, I believe it all depends on the nature of intra day price movements.For your information, I calculated the HV Yhoo and CSCO, using data from 4/14/2003 to 7/26/2004) Yhoo: 41.5% (C), 34.7% (H/L/C)CSCO: 31.7% (C), 27.0% (H/L/C)Hope this help.Paka

Buscador · August 7th, 2004, 2:59 pm

Only the poor!

9827579 · August 9th, 2004, 7:33 am

If I was as rich as Buscador, I wouldn't even bother to post at Wilmott...