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Feb 20

Historical Volatility Estimation

Posted by abiao at 15:47 | Code » Matlab | Comments(1) | Reads(20423)
Dozens of ways to calculate historical volatility, let alone volatility (I mean, implied volatility, stochastic volatility, for instance.). Here is the MATLAB code that one could use to estimate historical volatility using different methods

Historical Close-to-Close volatility
Historical High Low Parkinson Volatility
Historical Garman Klass Volatility
Historical Garman Klass Volatility modified by Yang and Zhang
Historical Roger and Satchell Volatility
Historical Yang and Zhang Volatility

Average of all the historical volatilities calculated above

Enjoy. http://tradingwithmatlab.blogspot.com/2008/06/estimate-historical-volatility.html

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