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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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