Does anyone know how Interactive Brokers calculate historical volatility? The result is quite different from Bloomberg.
IB use 20-day exponentially weighted moving average calculation for futures historical volatilities. For stocks IB use GarmanKlass simple moving average calculator that takes into consideration high/low/open/close values for the past 30 days. IB has not yet informed me, which formula they use for ETFs like SPY.
For ETFs IB also use Garman-Klass simple moving average calculator that takes into consideration high/low/open/close values for the past 30 days.