Financial Toolbox™

chaikvolat - Chaikin volatility

Syntax

chvol = chaikvolat(highp, lowp)
chvol = chaikvolat([highp lowp])
chvol = chaikvolat(high, lowp, nperdiff, manper)
chvol = chaikvolat([high lowp], nperdiff, manper)
chvts = chaikvolat(tsobj)
chvts = chaikvolat(tsobj, nperdiff, manper, ParameterName, 
ParameterValue, ...)

Arguments

`highp`	High price (vector).
`lowp`	Low price (vector).
`nperdiff`	Period difference (vector). Default = 10.
`manper`	Length of exponential moving average in periods (vector). Default = 10.
`tsobj`	Financial time series object.

Description

chvol = chaikvolat(highp, lowp) calculates the Chaikin volatility from the series of stock prices, highp and lowp. The vector chvol contains the Chaikin volatility values, calculated on a 10-period exponential moving average and 10-period difference.

chvol = chaikvolat([highp lowp]) accepts a two-column matrix as the input.

chvol = chaikvolat(high, lowp, nperdiff, manper) manually sets the period difference nperdiff and the length of the exponential moving average manper in periods.

chvol = chaikvolat([high lowp], nperdiff, manper) accepts a two-column matrix as the first input.

chvts = chaikvolat(tsobj) calculates the Chaikin volatility from the financial time series object tsobj. The object must contain at least two series named High and Low, representing the high and low prices per period. chvts is a financial time series object containing the Chaikin volatility values, based on a 10-period exponential moving average and 10-period difference. chvts has the same dates as tsobj and a series called ChaikVol.

chvts = chaikvolat (tsobj,nperdiff, manper, ParameterName, ParameterValue, ...) accepts parameter name/parameter value pairs as input. These pairs specify the name(s) for the required data series if it is different from the expected default name(s). Valid parameter names are

HighName: high prices series name
LowName: low prices series name

Parameter values are the strings that represent the valid parameter names.

nperdiff, the period difference, and manper, the length of the exponential moving average in periods, can also be set with this form of chaikvolat.

Examples

Compute the Chaikin volatility for Disney stock and plot the results:

load disney.mat
dis_CHAIKvol = chaikvolat(dis)
plot(dis_CHAIKvol)
title('Chaikin Volatility for Disney')

References