Disclaimer
Analysis Techniques & Strategies
| Name | Type | Default | Description |
| NumDays | Numeric | 30 | Number of days of the underlying asset's price data to average when calculating the volatility. |
The Statistical Volatility Extreme Value Model uses the highest and lowest closing price and highest and lowest price of the underlying asset during a set period of time to calculate volatility. The period of time is entered as an input to the model.