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Natenberg's Volatility by Sheldon Natenberg
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 theformula for computing historical volatility.
In MetaStock"! the equivalent formula would be:

Natenberg's Volatility Daily

Std( Log( C / Ref( C,-1) ),10 ) * Sqrt( 365)

 

This assumes Weekly Data. To utilize this with Daily Data, the formula would be:

 


Natenberg's Volatility Weekly

Std( Log( C / Ref( C ,-1 ) ) ,10 ) * Sqrt( 365 / 7 )

 

For further interpretation refer to the book Option Volatility & Pricing, by Sheldon Natenberg
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