1. ## Annualizing volatility (2000)

Could any one help me with the formula to calculate a 20-day volatility, using a 260 day annualization factor. I understand how to calculate the volatility of the daily data using STDEVP function, but I don't know how to work in the 260 day annualization factor into the equation. Any help would be greatly appreciated.

2. ## Re: Annualizing volatility (2000)

Assume your 21 days (day 0 - Day20) are in cells A1 - A21.

You can calculate this DIRECTLY with an ARRAY formula (confirm with ctrl-shift-enter, not enter):
<pre>=STDEV(LN((A2:A21)/(A1:A20)))*SQRT(260)
</pre>

Format as Percent if desired (or multiply by 100 if you actually use the "percent value").

Indirectly (and to help explain the ARRAY), put your calcs in B2: B21 (B1 will be blanK since this is the "0-value". In B2 enter:
<pre>=LN(A2/A1)
</pre>

Copy this from B3 to B21.
Now put in a cell:
<pre>=STDEV(B1:B21)*SQRT(260)
</pre>

and you have the 20-volatility calc with a 260 day ann factor.

The 2 values are the same. The array just gets by calculating INTERNALLY the intermediate column B

Steve

3. ## Re: Annualizing volatility (2000)

Thank-you! This is web site is a wonderful resource.

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