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How can I calculate the historical volatility of a stock in MATLAB?

I would like to create some simu开发者_开发知识库lated historical options data, and need to calculate historical volatility from historical stock prices. Is there a built in function to do this? Any formulas?


The only built-in functions I found were in the Financial Toolbox:

  • BLKIMPV
  • BLSIMPV
  • CHAIKVOLAT

Other than that, here are some other links that may help:

  • Trading with MATLAB blog
  • Historical Volatility by Josiah Renfree on the MathWorks File Exchange (link from ShinTakezou's comment above)
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