QUANTCONNECT COMMUNITY
I'm attempting to calculate the historical volatility of SPY. When I annualize the volatility and chart the results, I'd expect the values to somewhat follow the range that VIX trades (ie, 10 - 80), but the numbers are completely off. I understand implied vol (VIX) is generally higher than realized vol (as I'm calculating), but the vol I get for SPY is in the range of 50 - 550, which leads me to believe I have an error somewhere.
Any assistance with this would be much appreciated. Thanks!
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
QuantConnect™ 2024. All Rights Reserved
|
|
Share New Research 
Vladimir
Patrick
In finance, volatility usually measured by the standard deviation of logarithmic returns.
self.logr = self.LOGR(self.spy, 1)
self.std = IndicatorExtensions.Of(StandardDeviation(self.lookbackSTD), self.logr)
self.stdAvg = IndicatorExtensions.SMA(self.std, self.lookbackSMA)
Bodhi
Thanks Vladimir!
Vladimir
Patrick,
If you are satisfied with my answers, please accept them.
Bodhi
The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by QuantConnect. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. QuantConnect makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances. All investments involve risk, including loss of principal. You should consult with an investment professional before making any investment decisions.
To unlock posting to the community forums please complete at least 30% of Boot Camp.
You can continue your Boot Camp training progress from the terminal. We hope to see you in the community soon!