Timeline for Close Volatility - Open-Close Volatility
Current License: CC BY-SA 4.0
6 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Dec 28, 2023 at 8:42 | comment | added | Con Fluentsy | You are not right. | |
| Dec 28, 2023 at 8:39 | history | edited | Con Fluentsy | CC BY-SA 4.0 |
added 44 characters in body
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| Nov 14, 2020 at 20:36 | comment | added | user42108 | "In finance it is difficult to distinguish mean returns (drift) from variance and estimates of the mean return are notoriously noisy especially for small samples. So we generally set the mean return to zero." - Euan Sinclair, Volatility Trading. If you want to include the mean, feel free, but it is not standard practice to do so if you're looking at realized vol. | |
| Nov 13, 2020 at 13:58 | comment | added | user42108 | Your first equation seems to be missing a square root, and in general people do not use the mean in estimating vol. | |
| Nov 13, 2020 at 9:10 | vote | accept | mbz0 | ||
| Nov 11, 2020 at 21:59 | history | answered | Con Fluentsy | CC BY-SA 4.0 |