Historical Volatility - FXB.ta.HV

The FXB.ta.HV class calculates historical volatility: the standard deviation of the changes in a value, multiplied by a factor such as 260 to create an annualised figure. It is a value-based calculation, and can be applied to any series of values including the output of another FXB.ta calculation. Parameters are as follows:

Parameter

Description

period

Rolling period for the calculation

deviations

Number of standard deviations to calculate

factor

Factor (calculation uses the square root of this number)