As I recall, you're supposed to use the sqrt of the number of days of data
you've used to annualize it -- not simply the sqrt(250). In the example you
cited it would be sqrt(21).

Also you're supposed to *divide* by the sqrt(time period), not *multiply* by it
which makes quite a difference. Using the volatility over a longer period of
time tends to reduce the calculated volatility. If you multiply it will
artificially increase it instead.

Here's a simple reference. It has the equations near the bottom.
http://en.wikipedia.org/wiki/Historical_volatility

And also here are two links from the other board I referenced. The software
does provide plug ins that do a bunch of technical analysis stuff including
historical volatility. One provides documentation, the other the actual
software. Note that I have not tried it myself.

docs: http://tadoc.org/
softwa http://ta-lib.org/

Bill
-----------------------

JELLO wrote:
Thanks for the help guys,

The equation i use is straight forward,

Take the natural log of the price change: LN(closing price/previous close)
Use as many price changes as you would like, i used 21 days.

Take the standard deviation of the natural log of all the price
changes...multiply this figure by the square root of 250 (this annualizes the
volatility).

I plan to use an advanced form of measuring volatility (GARCH method) but my
hope was someone would have an excel addin they could share.

Thank again for your guys help, yahoo excel financial trading site will be
useful too


"Bill Martin" wrote:


JELLO wrote:

i have a set of financial data that i would like to use to find its
historical volatility. I know the equation for determining volatility but i
was wondering if there is an excel addin that would speed up the process so i
dont have to do everything manually


-----------------

There is a Yahoo group devoted to Excel's use in stock market issues such as
this. You can find it at:

http://groups.yahoo.com/group/xltraders/

Bill