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Another alternative which avoids retaining historical close-to-close
volatility is to use the Extreme Value Method.
Advantages of this form are:
1 It catches the volatility of say a reversal day when there was a wide H-L
range but the Close was near the previous day.
2 It is considered 5 times as precise as the close-to-close estimate.
VOLt = .601*Ln(Ht/Lt) where Ht=High for the time interval "t" in days,etc
Annualised VOL = VOLt*SQRT(365/t) except where t=1.
Graham Critchley
Box 330
South Melbourne VIC 3205
AUSTRALIA
Phone 0416 171 006
Intl Ph 61 416 171 006
E-Mail gcc@xxxxxxxxxxxxxx
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