Equation: Historical Close-to-Close Volatility

Historical Close-to-Close Volatility

created by:

Thijs van den Berg (http://www.sitmo.com)

Historical volatility calculation using close-to-close prices.

	Volatility
	The closing price on the ith day
n	Number of historical days used in the volatility estimate
	Log return on the ith day
Z	The number of closing prices in a year

Related Equations
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Historical Open-High-Low-Close Volatility: Garman and Klass (Yang Zhang) »
Historical Open-High-Low-Close Volatility: Garman Klass »
Historical Open-High-Low-Close Volatility: Rogers Satchell »
Historical Open-High-Low-Close Volatility: Yang Zhang »
Main Equations Index »

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