TTR::volatility seems wrong in the default case about ttr

[joshuaulrich]

Thanks for the report. I certainly agree that the standard calculation with n-1 observations looks odd... and the mean0 calculation was based on that, which is probably why the n-2 is there (subtract one more observation).

I used this site when coding these volatility functions.

[ivannp]

Hmm, looks like the site has the equation in this manner, since N is the number of CLOSING observations. For N closes, we have N-1 returns and so on. I guess that's one approach, but is it consistent for the other estimators (i.e. Yang-Zhang)? There I think we take N returns (or ratios).

[braverock]

see

?var

which says:

"The denominator n - 1 is used which gives an unbiased estimator of
the (co)variance for i.i.d. observations."

Obviously, this applies to volatility as well as variance.

On 04/27/2015 10:41 PM, Ivan Popivanov wrote:

Hmm, looks like the site has the equation in this manner, since N is the
number of CLOSING observations. For N closes, we have N-1 returns and so
on. I guess that's one approach, but is it consistent for the other
estimators (i.e. Yang-Zhang)? There I think we take N returns (or ratios).

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