This script calculates and analyses the following historical volatility estimators:
- the traditional
Close-to-Closeestimator (and a variant of it that uses demeaned returns);
Garman-Klassestimator (1980) and a variant proposed by Yang & Zhang (2000);
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
- Edit the
run.mscript following your needs.
- Execute the
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
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)
Tommaso Belluzzo (2023). Historical Volatility (https://github.com/TommasoBelluzzo/HistoricalVolatility/releases/tag/v1.5.0), GitHub. Retrieved .
MATLAB Release Compatibility
Platform CompatibilityWindows macOS Linux
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See release notes for this release on GitHub: https://github.com/TommasoBelluzzo/HistoricalVolatility/releases/tag/v1.5.0
See release notes for this release on GitHub: https://github.com/TommasoBelluzzo/HistoricalVolatility/releases/tag/v1.4.0