I know volatility indexes like VIX,VDAX,etc...
In option market volatility is REAL money.
My question is : there' s a smart way to create a volatility index on a bar price sequence (i.e. futures)?
Some of my ideas:
A sequence of bar/candles
Body=Abs(Close-Open)
Range=Abs(High-Low)
SMA(EMA) on n periods of Ranges(Bodies) - [1 order volatility sequence]
[H(0)-L(0)]+ .....[H(n-1)-L[n-1]]
SMA(EMA) on n periods of Ranges(Bars) of the 1 order volatility sequence [2 order volatility sequence]
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Some questions.
Do you know some studies on volatility from this perspective?
Do you know some of this kind of indicators or someone can give me some hints on how to do i.e. a 1 order volatility sequence like the above in Ninja?