Historical Volatility

A framework for historical volatility estimation and analysis.

Historical Volatility

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).

Requirements

The minimum Matlab version required is R2014a. In addition, the following products and toolboxes must be installed in order to properly execute the script:

• Statistics and Machine Learning Toolbox
• System Identification Toolbox

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)

Screenshots