You mean the one used to estimate the historical Vol using open-close and Hi-Lo? see the attached spreadsheet for an example. NumXL 1.5X currently supports EWMA, and comparing the two methods, they are very close, although EWMA show better sensitivity to recent market moves.
Nevertheless, Yang-Zhang is on the feature list to add to NumXL future releases
Комментарии
You mean the one used to estimate the historical Vol using open-close and Hi-Lo? see the attached spreadsheet for an example. NumXL 1.5X currently supports EWMA, and comparing the two methods, they are very close, although EWMA show better sensitivity to recent market moves.
Nevertheless, Yang-Zhang is on the feature list to add to NumXL future releases
I found a book on scribd.com for volatility trading - it talks about Yang-Zhang and other methods for estimating historical volatility.
Volatility Trading
To be complete, we better support the following methods as well:
Войдите в службу, чтобы оставить комментарий.