Course Name: Futures Trading: Concepts & Strategies, Section No: 13, Unit No: 8, Unit type: Notebook
in the third block volatility is calculated with a rolling window of 40 days, however form other classes you should have to multiply the number by sqrt(volatility_window), but it is never done
Hi Victor,
It is a generally accepted principle that volatility is expressed in annualised terms. Hence you will find that you multiply the volatility value with the square root of the number of trading days in a year. This is done to typically standardise the values, which makes it easy to compare across assets.
However, it is also fine to not multiply the value by the square root and keep the volatility value as it is.
I hope this helps.