Hello.

Is it possible to calculate weekly historical volatility?

If so, could I please be helped with:
a. a forumal for weekly vol in general?
b. a formula to output the value for 12 week (3 month) vol?

What I'm heading toward is how to evaluate daily vol versus weekly vol. In a third question, is it possible to generate a ratio of weekly vol to daily vol over the same period, say, 12 weeks? I would like to know whether the daily vol over 12 weeks is larger or smaller than the weekly vol over the same period, and by how much.

Thank you very much for any ideas.

I will start with the weekly formula for TC2000 v18 using a weekly time frame. I used 13 weeks for 3 months because it is a better approximation than 12, but you can change all instances of 13 in the formula to 12 if you want.

100 * SQR(52) * ABS((SUM(LOG(C / C1) ^ 2, 13) - LOG(C / C13) ^ 2 / 13) / 13) ^ .5

There isn't a way to then take a daily to weekly HV Ratio however as you can't mix time frames.

A weekly formula would be a bit more complicated and we would probably need to use the rolling 5 trading day weeks from TC2000 v7.

100 * SQR(52) * SQR((LOG(C / C5) ^ 2 + LOG(C5 / C10) ^ 2 + LOG(C10 / C15) ^ 2 + LOG(C15 / C20) ^ 2 + LOG(C20 / C25) ^ 2 + LOG(C25 / C30) ^ 2 + LOG(C30 / C35) ^ 2 + LOG(C35 / C40) ^ 2 + LOG(C40 / C45) ^ 2 + LOG(C45 / C50) ^ 2 + LOG(C50 / C55) ^ 2 + LOG(C55 / C60) ^ 2 + LOG(C60 / C65) ^ 2 - (LOG(C / C65) ^ 2) / 13) / 13)

A daily formula covering the same span would be the following.

100 * SQR(260) * SQR((LOG(C / C1) ^ 2 + LOG(C1 / C2) ^ 2 + LOG(C2 / C3) ^ 2 + LOG(C3 / C4) ^ 2 + LOG(C4 / C5) ^ 2 + LOG(C5 / C6) ^ 2 + LOG(C6 / C7) ^ 2 + LOG(C7 / C8) ^ 2 + LOG(C8 / C9) ^ 2 + LOG(C9 / C10) ^ 2 + LOG(C10 / C11) ^ 2 + LOG(C11 / C12) ^ 2 + LOG(C12 / C13) ^ 2 + LOG(C13 / C14) ^ 2 + LOG(C14 / C15) ^ 2 + LOG(C15 / C16) ^ 2 + LOG(C16 / C17) ^ 2 + LOG(C17 / C18) ^ 2 + LOG(C18 / C19) ^ 2 + LOG(C19 / C20) ^ 2 + LOG(C20 / C21) ^ 2 + LOG(C21 / C22) ^ 2 + LOG(C22 / C23) ^ 2 + LOG(C23 / C24) ^ 2 + LOG(C24 / C25) ^ 2 + LOG(C25 / C26) ^ 2 + LOG(C26 / C27) ^ 2 + LOG(C27 / C28) ^ 2 + LOG(C28 / C29) ^ 2 + LOG(C29 / C30) ^ 2 + LOG(C30 / C31) ^ 2 + LOG(C31 / C32) ^ 2 + LOG(C32 / C33) ^ 2 + LOG(C33 / C34) ^ 2 + LOG(C34 / C35) ^ 2 + LOG(C35 / C36) ^ 2 + LOG(C36 / C37) ^ 2 + LOG(C37 / C38) ^ 2 + LOG(C38 / C39) ^ 2 + LOG(C39 / C40) ^ 2 + LOG(C40 / C41) ^ 2 + LOG(C41 / C42) ^ 2 + LOG(C42 / C43) ^ 2 + LOG(C43 / C44) ^ 2 + LOG(C44 / C45) ^ 2 + LOG(C45 / C46) ^ 2 + LOG(C46 / C47) ^ 2 + LOG(C47 / C48) ^ 2 + LOG(C48 / C49) ^ 2 + LOG(C49 / C50) ^ 2 + LOG(C50 / C51) ^ 2 + LOG(C51 / C52) ^ 2 + LOG(C52 / C53) ^ 2 + LOG(C53 / C54) ^ 2 + LOG(C54 / C55) ^ 2 + LOG(C55 / C56) ^ 2 + LOG(C56 / C57) ^ 2 + LOG(C57 / C58) ^ 2 + LOG(C58 / C59) ^ 2 + LOG(C59 / C60) ^ 2 + LOG(C60 / C61) ^ 2 + LOG(C61 / C62) ^ 2 + LOG(C62 / C63) ^ 2 + LOG(C63 / C64) ^ 2 + LOG(C64 / C65) ^ 2 - (LOG(C / C65) ^ 2) / 65) / 65)

This would allow you to write the ratio as a daily formula.

SQR(52) * SQR((LOG(C / C5) ^ 2 + LOG(C5 / C10) ^ 2 + LOG(C10 / C15) ^ 2 + LOG(C15 / C20) ^ 2 + LOG(C20 / C25) ^ 2 + LOG(C25 / C30) ^ 2 + LOG(C30 / C35) ^ 2 + LOG(C35 / C40) ^ 2 + LOG(C40 / C45) ^ 2 + LOG(C45 / C50) ^ 2 + LOG(C50 / C55) ^ 2 + LOG(C55 / C60) ^ 2 + LOG(C60 / C65) ^ 2 - (LOG(C / C65) ^ 2) / 13) / 13) / SQR(260) / SQR((LOG(C / C1) ^ 2 + LOG(C1 / C2) ^ 2 + LOG(C2 / C3) ^ 2 + LOG(C3 / C4) ^ 2 + LOG(C4 / C5) ^ 2 + LOG(C5 / C6) ^ 2 + LOG(C6 / C7) ^ 2 + LOG(C7 / C8) ^ 2 + LOG(C8 / C9) ^ 2 + LOG(C9 / C10) ^ 2 + LOG(C10 / C11) ^ 2 + LOG(C11 / C12) ^ 2 + LOG(C12 / C13) ^ 2 + LOG(C13 / C14) ^ 2 + LOG(C14 / C15) ^ 2 + LOG(C15 / C16) ^ 2 + LOG(C16 / C17) ^ 2 + LOG(C17 / C18) ^ 2 + LOG(C18 / C19) ^ 2 + LOG(C19 / C20) ^ 2 + LOG(C20 / C21) ^ 2 + LOG(C21 / C22) ^ 2 + LOG(C22 / C23) ^ 2 + LOG(C23 / C24) ^ 2 + LOG(C24 / C25) ^ 2 + LOG(C25 / C26) ^ 2 + LOG(C26 / C27) ^ 2 + LOG(C27 / C28) ^ 2 + LOG(C28 / C29) ^ 2 + LOG(C29 / C30) ^ 2 + LOG(C30 / C31) ^ 2 + LOG(C31 / C32) ^ 2 + LOG(C32 / C33) ^ 2 + LOG(C33 / C34) ^ 2 + LOG(C34 / C35) ^ 2 + LOG(C35 / C36) ^ 2 + LOG(C36 / C37) ^ 2 + LOG(C37 / C38) ^ 2 + LOG(C38 / C39) ^ 2 + LOG(C39 / C40) ^ 2 + LOG(C40 / C41) ^ 2 + LOG(C41 / C42) ^ 2 + LOG(C42 / C43) ^ 2 + LOG(C43 / C44) ^ 2 + LOG(C44 / C45) ^ 2 + LOG(C45 / C46) ^ 2 + LOG(C46 / C47) ^ 2 + LOG(C47 / C48) ^ 2 + LOG(C48 / C49) ^ 2 + LOG(C49 / C50) ^ 2 + LOG(C50 / C51) ^ 2 + LOG(C51 / C52) ^ 2 + LOG(C52 / C53) ^ 2 + LOG(C53 / C54) ^ 2 + LOG(C54 / C55) ^ 2 + LOG(C55 / C56) ^ 2 + LOG(C56 / C57) ^ 2 + LOG(C57 / C58) ^ 2 + LOG(C58 / C59) ^ 2 + LOG(C59 / C60) ^ 2 + LOG(C60 / C61) ^ 2 + LOG(C61 / C62) ^ 2 + LOG(C62 / C63) ^ 2 + LOG(C63 / C64) ^ 2 + LOG(C64 / C65) ^ 2 - (LOG(C / C65) ^ 2) / 65) / 65)

Bruce, thank you so much for this solution. It works just as needed. Thank you, again.

You're welcome.