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MetaStock
Indicator - Natenberg's
Volatility
rev. 01/21/97
Historical
volatility is defined by Sheldon Natenberg, as the
standard deviation of the logarithmic price
changes measured at regular intervals of time. In
Mr. Natenberg's book, Option Volatility &
Pricing, he covers volatility in detail and
gives the formula for computing historical
volatility. In MetaStock™ the equivalent formula
would be:
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Std(
Log( C / Ref( C ,-1 ) ) ,10 ) * Sqrt(
365 / 7 )
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This assumes
Weekly Data. To utilize this with Daily Data, the
formula would be:
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Std(
Log( C / Ref( C,-1) ),10 ) *
Sqrt( 365 )
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For further
interpretation refer to the book Option
Volatility & Pricing, by Sheldon
Natenberg.
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