Hello!
I wonder how to calculate the 2-day Historical Volatility of SPX:
I found this formula below but are not sure how to accurate calculate the below. So I thought to ask to be sure. Anyone know how to calculate the below? :
The 2-day HV is calculated as:
STDEV [ LN (todaysclose / yesterdaysclose) : LN (yesterdaysclose / daybeforeyesterdaysclose)] * SQRT (251)
todaysclose: 100
yesterdaysclose: 99
daybeforeyesterdaysclose: 98