# INTRODUCTION #
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).
# 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)
Tommaso Belluzzo (2020). Historical Volatility (https://github.com/TommasoBelluzzo/HistoricalVolatility/releases/tag/v1.5.0), GitHub. Retrieved .
Dear S.G., following your suggestions I'll try to modify the script so that it can accept both file feeds and market data. I cannot provide a release date for the moment. Thanks!
Great job but Yahoo gives problem. I suggest to modify the script for providing data files instead.
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