Historical Volatility

Version 1.1.0.0 (2,2 ko) par Josiah Renfree
Calculates the annualized historical volatility for a stock over the previous N trading days.
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Mise à jour 15 oct. 2010

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This program calculates the annualized historical volatility for one or more stocks over a user-specified number of N trading days. The program uses daily closing prices in the calculations. If not specified, the program defaults to N=20 previous trading days.

The user may supply either a single ticker symbol or a cell array of ticker symbols. Using the supplied N, the program will then calculate the historical volatility for each stock.

In order to run the program, the function 'hist_stock_data.m' must be downloaded and stored in the same directory. This function may be found in my MathWorks File Exchange.

Citation pour cette source

Josiah Renfree (2026). Historical Volatility (https://fr.mathworks.com/matlabcentral/fileexchange/24811-historical-volatility), MATLAB Central File Exchange. Extrait(e) le .

Compatibilité avec les versions de MATLAB
Créé avec R14SP1
Compatible avec toutes les versions
Plateformes compatibles
Windows macOS Linux
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Remerciements

Inspiré par : hist_stock_data(start_date, end_date, varargin)

Version Publié le Notes de version
1.1.0.0

Fixed error in date handling
1.0.0.0