Log-Range volatility for dummies?

[melanie911]

different ways of volatility calc.

the question is: then?

prediction is the key

 

[mgdpublic]

Quote from Hugin:

As I understand from a quick look is that they instead of looking at the log of close to close returns use the log of the high to low ratio as the "return" in the calculation of the volatility estimate. So its not just the high to low over the entire window which, as you say, would become a static measure until a new high/low is encountered in the window.
For days with a large high to low ratio but where we end up with the same close price as yesterday this would be a better estimate of "true" volatility.

Exactly. Now if I could just figure out how to do that in excel.

 

[melanie911]

noisy

 

[dtrader98]

Quote from mgdpublic:

Exactly. Now if I could just figure out how to do that in excel.

Alright, I think you're legit. Hope this helps. Sample rtn period is monthly. High and Low are within the monthly window.

Good Luck.

 

[mgdpublic]

Thank you sir! That's exactly what I needed. Don't know why those Phd's have to speak in Math Cant--your excel equation is just a tad more efficient.