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1 ## Copyright (C) 1995, 1996, 1997 Friedrich Leisch |
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2 ## |
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3 ## This file is part of Octave. |
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4 ## |
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5 ## Octave is free software; you can redistribute it and/or modify it |
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6 ## under the terms of the GNU General Public License as published by |
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7 ## the Free Software Foundation; either version 3 of the License, or (at |
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8 ## your option) any later version. |
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9 ## |
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10 ## Octave is distributed in the hope that it will be useful, but |
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11 ## WITHOUT ANY WARRANTY; without even the implied warranty of |
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12 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU |
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13 ## General Public License for more details. |
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14 ## |
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15 ## You should have received a copy of the GNU General Public License |
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16 ## along with Octave; see the file COPYING. If not, see |
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17 ## <http://www.gnu.org/licenses/>. |
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18 |
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19 ## -*- texinfo -*- |
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20 ## @deftypefn {Function File} {} vol (@var{x}, @var{m}, @var{n}) |
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21 ## Return the volatility of each column of the input matrix @var{x}. |
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22 ## The number of data sets per period is given by @var{m} (e.g. the |
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23 ## number of data per year if you want to compute the volatility per |
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24 ## year). The optional parameter @var{n} gives the number of past |
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25 ## periods used for computation, if it is omitted, a value of 1 is used. |
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26 ## If @var{t} is the number of rows of @var{x}, @code{vol} returns the |
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27 ## volatility from @code{n*m} to @var{t}. |
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28 ## @end deftypefn |
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29 |
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30 ## Author: FL <Friedrich.Leisch@ci.tuwien.ac.at> |
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31 ## Description: Volatility of financial time series data |
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32 |
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33 function retval = vol (X, m, n) |
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34 |
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35 if (nargin < 2) |
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36 print_usage (); |
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37 endif |
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38 |
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39 [xr, xc] = size (X); |
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40 |
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41 if (nargin > 2) |
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42 if (n * m > xr) |
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43 error ("vol: I need more data!"); |
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44 endif |
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45 else |
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46 n = 1; |
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47 if (n * m > xr) |
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48 error ("vol: I need more data!"); |
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49 endif |
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50 endif |
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51 |
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52 U = zeros (xr - 1, xc); |
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53 |
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54 if (all (X)) |
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55 U = X ((2 : xr), :) ./ X((1 : (xr-1)), :); |
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56 else |
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57 error ("vol: zero element in X"); |
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58 endif |
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59 |
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60 U = log(U); |
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61 U = U - ones (xr - 1, 1) * sum (U) / (xr - 1); |
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62 |
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63 retval = zeros (xr - n * m, xc); |
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64 |
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65 retval(1, :) = sumsq (U((1 : n*m), :)); |
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66 for i = 2 : (xr - n * m) |
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67 retval(i, :) = retval(i - 1, :) ... |
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68 - U(i - 1, :).^2 + U(i + n * m - 1, :).^2; |
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69 endfor |
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70 |
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71 retval = sqrt (retval * m / (n * m - 1)); |
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72 |
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73 endfunction |
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74 |
