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Historical Volatility

version 1.5.0 (519 KB) by Tommaso Belluzzo
A framework for historical volatility estimation and analysis.

4 Downloads

Updated 14 Jun 2020

GitHub view license on GitHub

# INTRODUCTION #

This script calculates and analyses the following historical volatility estimators:

> the traditional Close-to-Close estimator (and a variant of it that uses demeaned returns);
> the Parkinson estimator (1980);
> the Garman-Klass estimator (1980) and a variant proposed by Yang & Zhang (2000);
> the Rogers-Satchell estimator (1991);
> the Hodges-Tompkins estimator (2002);
> the Yang-Zhang estimator (2000);
> the Meilijson estimator (2009).

# USAGE #

1) Edit the "run.m" script following your needs.
2) Execute the "run.m" script.

# DATASET #

Datasets can be fetched from "Yahoo! Finance" using the function "fetch_data", or parsed from Excel sheets using the function "parse_dataset". The example script provides a good overview of both approaches.

Every dataset passed as input argument to "analyze_volatility", "compare_estimators" and "estimate_volatility" functions must be structured as a table of historical time series having the following columns:

> Date (numeric observation dates)
> Open (opening prices)
> High (highest prices)
> Low (lowest prices)
> Close (closing prices)
> Return (log returns)

Cite As

Tommaso Belluzzo (2020). Historical Volatility (https://github.com/TommasoBelluzzo/HistoricalVolatility/releases/tag/v1.5.0), GitHub. Retrieved .

Comments and Ratings (4)

Tommaso Belluzzo

Dear S.G., following your suggestions I'll try to modify the script so that it can accept both file feeds and market data. I cannot provide a release date for the moment. Thanks!

Giancarlo Breschi

Andrew Suphat

S. G.

Great job but Yahoo gives problem. I suggest to modify the script for providing data files instead.

Updates

1.5.0

See release notes for this release on GitHub: https://github.com/TommasoBelluzzo/HistoricalVolatility/releases/tag/v1.5.0

1.4.0

See release notes for this release on GitHub: https://github.com/TommasoBelluzzo/HistoricalVolatility/releases/tag/v1.4.0

1.3.0

See release notes for this release on GitHub: https://github.com/TommasoBelluzzo/HistoricalVolatility/releases/tag/v1.3.0

1.2.0

See release notes for this release on GitHub: https://github.com/TommasoBelluzzo/HistoricalVolatility/releases/tag/v1.2.0

1.1.6

Minor fixes and improvements.

1.1.5

Minor fixes and improvements.

1.1.4

Updated details concerning compatibility & requirements.

1.1.3

Updated details concerning compatibility & requirements.

1.1.2

Minor fixes and improvements.

1.1.1

Project website.

1.1.0

Target release.

1.0.9

Improved tags.

1.0.8

Improved tags.

1.0.7

Improved tags.

1.0.6

Improved description.

1.0.5

Improved description.

1.0.4

Improved description.

1.0.3

Added screenshot.

1.0.2

Minor fixes and improvements.

1.0.1

Added details concerning compatibility & requirements.

MATLAB Release Compatibility
Created with R2014b
Compatible with R2014b to R2020a
Platform Compatibility
Windows macOS Linux