Change of volatility

v10.3
Change of volatility

There are a lot of ways to measure volatility (changeability). One of them is calculation of the standard deviation of returns for a certain period of time. Sometimes the current volatility on a short period of time (for example, 6 days) is correlated with volatility of a larger period (for example 100 days). This indicator calculates the correlation of a short volatility Vol_short and a long volatilityVol_long. Vol_change=Vol_short/Vol_long

Standard deviation here is not that from a difference of closing prices, but from logarithms of the correlation of the current day closing price and closing price of a previous day: Mom[i]=Close[i]/Close[i+1].

Vol_k=Std(Mom,k),
where k is the period of volatility change.

(description from the author)

Indicator of volatility converted following a request in the indicators forum section.

 

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No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

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