Historic Vol 6/100 day ratio

Alfy · Fri, 06 Jan 2023 08:18:49 +0000

Good morning guys, i am looking to create a ratio of the 6 day Historical vol/100 day historical vol. On PRT historical vol exists but doesnt allow a ratio. Can anyone help with the code? Thanks in advance Best regards

This topic has 2 replies, 2 voices, and was last updated 1 year ago by Alfy.

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01/06/2023 at 9:18 AM #206868

Alfy

Good morning guys, i am looking to create a ratio of the 6 day Historical vol/100 day historical vol. On PRT historical vol exists but doesnt allow a ratio. Can anyone help with the code? Thanks in advance

Best regards

Alfy
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01/06/2023 at 10:46 AM #206877

JS

Hi @Alfy

Do you mean something like this…

Hist Vol Ratio

xHV6=HistoricVolatility[6](close) xHV100=HistoricVolatility[100](close) xHVRatio=xHV6/xHV100 Return xHVRatio

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xHV6=HistoricVolatility[6](close)
xHV100=HistoricVolatility[100](close)
xHVRatio=xHV6/xHV100
Return xHVRatio

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robertogozzi, Alfy

JS
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01/06/2023 at 11:20 AM #206884

Alfy

Thats exactly what i was looking for! Thanks so much for your help

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JS

Alfy
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Historic Vol 6/100 day ratio

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