Foreign exchange rate data normally contain four quotation figures for daily prices: opening, high, low and closing values.
It should be noted that the daily opening and closing rates have special significance,
as each may hold some additional psychological importance
and or may trigger a transaction response simply by holding their particular designation.
These four prices encapsulate market activity for any particular session.
Within this paradigm, volatility can be calculated through a straightforward algorithm:
Formula
By definition, this indicator will be positive during periods of advancing observed values, and negative during periods of declining observed values.
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