Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Feb 20

Historical Volatility Estimation

Posted by abiao at 15:47 | Code » Matlab | Comments(2) | Reads(20698)
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

Your content is high quality, you may see a lot of unique things that can't be spotted on other websites, quite useful but yet very correct!

castle crush hack
Lucille F. Parham Email
That's a very good post, This post give truly quality information, I'm definitely going to look into it, Really very useful tips are provided here, Thanks for sharing. sudoku expert
Pages: 1/1 First page 1 Final page
Add a comment
Enable HTML
Enable UBB
Enable Emots
Nickname   Password   Optional
Site URI   Email   [Register]