Relative Historical Volatility MCM

2021년 3월 3일

Relative Historical Volatility

Historical Volatility is relative to it's doubled lookback period of the historical volatility to calculate relative historical volatility.

Including a standard deviation to calculate the volatility value itself is useless. It filters out 32% of the most volatile movements of the asset that you are observing.

Example of RHV:

Period of Volatility Value (POVV) : 10

Relative Historical Volatility : POVV / POVV*2

Historical Volatility of past 10 Bars is compared to the historical volatility of the bast 20 bars to show real growth/decrease of volatility relative to the time of the performing asset.

Comparing historical volatility to the current bar includes much more noise, the relative historical volatility can be perceived as a smoothed historical volatility ind.

Marginal notes:

Added standard deviations adjusted to the relative volatility value to predict probable future volatility of the stock.