Close-to-Close HV estimators are the most commonly used estimators in finance. The calculation is straightforward and easy to understand.
When people reference historical volatility , most of the time they are talking about the close to close estimator.
<Points for improvement>
- The Close-to-close estimator only calculates volatility based on the closing price. It does not take account into intraday volatility drift such as high, low.
It also does not take account into the jump when open and close prices are not the same.
- It weights past volatility equally during the lookback period, while there are other ways to weight the historical data.
- It is calculated based on standard deviation so it is vulnerable to returns that are not normally distributed and have fat tails.
<All HV Estimators Usage Notes>
[Annualizing:]
These results are not annualized. If you need, please set it in the options.
As volatility is usually quoted on an annualised basis, this volatility has be multiplied by the square root of the number of samples in a year (i.e. √252 for daily returns, √52 for weekly returns and √12 for monthly returns).
[Distribution:]
The resulting value of the calculation is a distribution scale of volatility ratio (Log return).
It can be approximated to 10% of Historical Volatility, when the log return is 0.1 .
[Percentile Rank]
Percentile Rank is a heavy processing.
So please select it when necessary, and limit the number of bars to calculate.
2023/01/17
The file name was changed because the name was not unified.
