I have 600 days of closing prices of a stock. I want to calculate the annualized volatility for 6 day window. How do i do that?
If I calculate the std dev of the first 6 days, i get, say 1%. This is the daily volatility of the first 6 days. To annualize it, should i just multiply 1% with sqrt(252)? Or, is this 1% the daily volatility of 6 days? In that case i should multiply with sqrt(252/6)? Is this number 1% the daily volatility for 1 day, or is it the dayily volatility for 6 days?
I dont get it, I am missing a parameter. The period should also be involved in the calculation, right?
So to annualize 6 day volatility, i multiply with sqrt(252/6)? And when do i multiply with sqrt(252)?
UPDATE1: Ami44 writes that the correct procedure to annualize a 6 day window, is to multiply with sqrt (252/6). See Converting 30day annualized vol to 2day annualized vol
UPDATE2: in the answer below, ForeignVolatility says that I should multiply with sqrt (252). This is contradictory to "UPDATE1" above. So I am confused. Should I multiply with sqrt (252) or sqrt(252/6)? And, if I have a 30 day window, should I still multiply with sqrt (252), or should I use sqrt(252/30)? Great confusion. Some say Ba, and other say Bu.