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Miscellaneous

Various utility routines used for financial data analysis.

contents(sorted by time created):

tick2bar.m - tick data aggregation
histvol.m - historical volatility calculation
ewma.m - exponentially weighted moving average ('variance of returns' version)
optionparse.m - parses option chain csv into matlab table
BCS_secant.m - computes implied volatility using Bharadia-Christopher-Salkin and secant method
PEvol.m - computes historical volatility using Parkinson estimator
GKvol.m - computes historical volatility using Garman-Klass estimator
RSvol.m - computes historical volatility using Rogers-Satchell estimator
GARCHestimation.m - Supporting script for GARCH estimation