Historical Volatility

Calculates the annualized historical volatility for a stock over the previous N trading days.
Updated 15 Oct 2010

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This program calculates the annualized historical volatility for one or more stocks over a user-specified number of N trading days. The program uses daily closing prices in the calculations. If not specified, the program defaults to N=20 previous trading days.

The user may supply either a single ticker symbol or a cell array of ticker symbols. Using the supplied N, the program will then calculate the historical volatility for each stock.

In order to run the program, the function 'hist_stock_data.m' must be downloaded and stored in the same directory. This function may be found in my MathWorks File Exchange.

Cite As

Josiah Renfree (2024). Historical Volatility (https://www.mathworks.com/matlabcentral/fileexchange/24811-historical-volatility), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R14SP1
Compatible with any release
Platform Compatibility
Windows macOS Linux
Find more on Financial Toolbox in Help Center and MATLAB Answers

Inspired by: hist_stock_data(start_date, end_date, varargin)

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Version Published Release Notes

Fixed error in date handling