volatility of intraday (minute data)

5 次查看（过去 30 天）

Mate 2u 2011-8-25

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/14525-volatility-of-intraday-minute-data

评论： nan hu 2017-4-26

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 个评论
显示 -1更早的评论隐藏 -1更早的评论

nan hu 2017-4-26

Doing subsampling by every 5 mins

请先登录，再进行评论。

请先登录，再回答此问题。

采纳的回答

Oleg Komarov 2011-8-25

0
链接

此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/14525-volatility-of-intraday-minute-data#answer_19742

You can use relized measure with high frequency intraday data: http://realized.oxford-man.ox.ac.uk/data/documentation/econometric-methods.

Here's a list of related literature: http://realized.oxford-man.ox.ac.uk/research/literature

And here'r the link to the free toolbox that implements realised measures: http://www.kevinsheppard.com/wiki/MFE_Toolbox

7 个评论
显示 5更早的评论隐藏 5更早的评论

Oleg Komarov 2011-8-25

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.

Mate 2u 2011-8-26

Hi Oleg I sent you a email.

请先登录，再进行评论。

更多回答（2 个）

Mate 2u 2011-8-25

0
链接

此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/14525-volatility-of-intraday-minute-data#answer_19765

Hi Oleg,

This looks interesting. There seems to be many ways to calculate the realized volatilities. Which method do you think would be best for 1 minute data which, if you have experience?

Best,

0 个评论
显示 -2更早的评论隐藏 -2更早的评论

请先登录，再进行评论。

Trung Hieu Le 2016-4-3

0
链接

此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/14525-volatility-of-intraday-minute-data#answer_216222

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.