Historical Volatility

A framework for historical volatility estimation and analysis.

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Updated 14 Jun 2020

From GitHub

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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

Volatility Cones

Estimators Comparison

Estimators Correlation

Cite As

Tommaso Belluzzo (2023). Historical Volatility (https://github.com/TommasoBelluzzo/HistoricalVolatility/releases/tag/v1.5.0), GitHub. Retrieved .

MATLAB Release Compatibility
Created with R2014b
Compatible with R2014b to R2022b
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
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

To view or report issues in this GitHub add-on, visit the GitHub Repository.
To view or report issues in this GitHub add-on, visit the GitHub Repository.