While reading the VOLATILITY CONE concept (which has been detailed in an interesting manner) i was trying to work back the calculations of annualised volatility for 10,20,30 days over the last 15 months from the 2014-15 data. But the Std Dev on the basis of NSE closing prices during those times do not tally with those in your table. Maybe my calculations are incorrect. Kindly provide the calculations (the Cone download in Excel also is disabled it seems). Kindly help.
The way NSE calculates volatility is slightly different. Their primary objective when calculating volatility is to establish the margins that can be charged. For that reason, they give more preference to the latest day volatility. In our case, we give equal weight to all data points. Hence the difference.
Sir where to find that data , how u calculated annualized realized volatility for each month ex. Jun-14 =41%.
Im not able to find the data of nifty from june 2014 to aug 2015 , where to find it?
How annualized realized volatility calculated for each month? Is it calculated by taking each months closing prices and then calculating standard deviation? Or taking only 10 days closing prices before expiry of each month and then calculating standard deviation?
how we get the data 20,30 ,35 ,90 days
Before expiry?
While reading the VOLATILITY CONE concept (which has been detailed in an interesting manner) i was trying to work back the calculations of annualised volatility for 10,20,30 days over the last 15 months from the 2014-15 data. But the Std Dev on the basis of NSE closing prices during those times do not tally with those in your table. Maybe my calculations are incorrect. Kindly provide the calculations (the Cone download in Excel also is disabled it seems). Kindly help.
The way NSE calculates volatility is slightly different. Their primary objective when calculating volatility is to establish the margins that can be charged. For that reason, they give more preference to the latest day volatility. In our case, we give equal weight to all data points. Hence the difference.
Sir where to find that data , how u calculated annualized realized volatility for each month ex. Jun-14 =41%.
Im not able to find the data of nifty from june 2014 to aug 2015 , where to find it?
How annualized realized volatility calculated for each month? Is it calculated by taking each months closing prices and then calculating standard deviation? Or taking only 10 days closing prices before expiry of each month and then calculating standard deviation?
how we get the data 20,30 ,35 ,90 days
Before expiry?
The historical data is on NSE website, you need to look through. It is monthly vol, annualized.