volatility of intraday (minute data)
5 visualizaciones (últimos 30 días)
Mostrar comentarios más antiguos
Mate 2u
el 25 de Ag. de 2011
Comentada: nan hu
el 26 de Abr. de 2017
Hi there,
I was wondering on how to calculate the volatility on 1 day prices which are minute by minute? If anybody could help me I would appreciate it.
Reason why I want to know as I want to check during the day graphically the most volatile times.
Best,
1 comentario
Respuesta aceptada
Oleg Komarov
el 25 de Ag. de 2011
You can use relized measure with high frequency intraday data: http://realized.oxford-man.ox.ac.uk/data/documentation/econometric-methods.
And here'r the link to the free toolbox that implements realised measures: http://www.kevinsheppard.com/wiki/MFE_Toolbox
7 comentarios
Oleg Komarov
el 25 de Ag. de 2011
Basically the folder Realized contains the functions that you will need to compute realized measures.
realized_variance is the function that computes the realized variance but all you need in your case, with data already calendar time sampled at the one minute is to calculate the sum(logreturns^2) = RV1m.
Más respuestas (2)
Trung Hieu Le
el 3 de Abr. de 2016
I also need to calculate the volatility on 1 day prices which are minute by minute? However, I cannot access to the above links. Could you please send me the code by email? Thanks in advance for your help.
0 comentarios
Ver también
Categorías
Más información sobre Financial Toolbox en Help Center y File Exchange.
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!