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Yang-Zhang volatility : validated implementation?

Asked by Brad Stiritz on 15 Jan 2018
Is anyone using a validated implementation of Yang-Zhang volatility within Matlab? I was hoping to use Tommaso Belluzzo's File Exchange submission "Historical Volatility" [1]. It looks like Joshua Ulrich's R Package "TTR" (Technical Trading Rules) [2], function "volatility", might be a good candidate for comparison.
However, I can't seem to obtain identical results between the two implementations. I have posted as an issue on Tommaso's Github repository [3]. I thought it would be worth reaching out here as well, to see if anyone has already worked through this in Matlab, possibly using different implementation(s)?
Thanks in advance for any assistance!

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