Historical Volatility

Calculates the annualized historical volatility for a stock over the previous N trading days.

Description

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.

• MATLAB release: MATLAB 7.0.1 (R14SP1)
• Other requirements: This program downloads data from the Yahoo! finance service. Therefore, the user's computer must be connected to the Internet

[Jose]

Nice work!
If you are using 2009b You will need to add the command: today=now to the first cell before the date variables are declared.

[David]

I think there is a bug in the code where the day has a leading zero. For instance, today, the "ddmmyyyy" is 07102010. When the for loop uses the str2double feature, I think the leading zero gets truncated such that when it is recast to a string, the data is of the form 7102010 instead of 07102010, and the hist_stock_data function does not handle this.

[Josiah Renfree]

Hi David,

Thanks for pointing out the bug. I've made changes to the code now which should handle dates with days < 10.

-Josiah