Historic Volatility Functions |
  
|
Historic Volatility Functions |
|
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. |
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. |
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. |
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. |
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
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.