Historic Vol 6/100 day ratio

• 01/06/2023 at 9:18 AM #206868
  Alfy

  Good morning guys, i am looking to create a ratio of the 6 day Historical vol/100 day historical vol. On PRT historical vol exists but doesnt allow a ratio. Can anyone help with the code? Thanks in advance

  Best regards

   

  

  Alfy

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  01/06/2023 at 10:46 AM #206877
  JS

  Hi @Alfy

  Do you mean something like this…

   

   

  Hist Vol Ratio

  xHV6=HistoricVolatility[6](close) xHV100=HistoricVolatility[100](close) xHVRatio=xHV6/xHV100 Return xHVRatio

  1 2 3 4

  xHV6=HistoricVolatility[6](close) xHV100=HistoricVolatility[100](close) xHVRatio=xHV6/xHV100 Return xHVRatio

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  robertogozzi, Alfy

  

  JS

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  01/06/2023 at 11:20 AM #206884
  Alfy

  Thats exactly what i was looking for! Thanks so much for your help

  1 user thanked author for this post.

  JS

  

  Alfy

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