tag:blogger.com,1999:blog-8608774547701042310.post3598297563328299620..comments2024-02-03T19:12:57.201-05:00Comments on Volatility Futures & Options: Some New Developments In Volatility Calculationsonlyvix.blogspot.comhttp://www.blogger.com/profile/13947069891082111297noreply@blogger.comBlogger3125tag:blogger.com,1999:blog-8608774547701042310.post-67929919565405883502016-03-29T00:27:13.773-04:002016-03-29T00:27:13.773-04:00In literature, use weekly data to calculate every ...In literature, use weekly data to calculate every week's volatility (Parkinson), so formula just have one highest and lowest price in one week. I don't sure "N" in formula how to determine. Is all trading days in that week? like 5 days? Author says he want to account for impact of different number of trading days on weekly volatility. Thank you!Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-8608774547701042310.post-17149205173270045492016-03-03T18:32:57.977-05:002016-03-03T18:32:57.977-05:00If you only have weekly closing prices, then there...If you only have weekly closing prices, then there are just too few observations to get a meaningful estimate. If you have weekly OHLC data, then absolutely use the formulas that I mentioned, as if your observations came from daily data.onlyvix.blogspot.comhttps://www.blogger.com/profile/13947069891082111297noreply@blogger.comtag:blogger.com,1999:blog-8608774547701042310.post-1329244588011901102016-03-03T14:16:40.434-05:002016-03-03T14:16:40.434-05:00How do you go about calculating 30 days rolling vo...How do you go about calculating 30 days rolling volatility if you have weekly dataAnonymousnoreply@blogger.com