Just been reading a chat involving Chris Tate and Louise Bedford (http://www.investoriq.com.au/downloa...ranscript.pdf).
Tate suggests the Historical Volatility formula in MS is incorrect. He offers his own, I haven't emailed him for it yet.
Is anyone else aware of the issue? I plan to use it to estimate volatility as I don't have option software with volatility data. Bollinger Bands is the other option that I find useful. Basically to know when hv is low to buy calls. It's only standard deviation from what I gather. Calculating implied volatility is a different matter I think. I found Tate's and Bower's options books very good re volatility.
If anyone knows anything about this please post the correct formula, maybe MS has corrected it since the date of Tate's comments in 2004.