I am implementing the formula for YZ Volatility using this link.
I am testing it on hourly Forex charts and I'm getting some strange numbers. Taking the 14 day YZ volatility using
252 * 24 (for hourly) I get numbers like
0.280535. Backing it off to
252 I get numbers like
0.0280535. In reality, it should be near the naive standard deviation
I'd like to confirm my assumptions on the periods are correct.
In the paper
Z is described as the number of closing prices in a year. For daily data, I would assume this would be
252. Since I am doing this on hourly data my assumption is that this would be
252 * 24. Is this correct? The strangest thing is that the volatility seems correct, except for the fact it's two decimal points too far to the left.