vol.m

JAVA 数学程序库 提供常规的数值计算程序包

## Copyright (C) 1995, 1996, 1997  Friedrich Leisch
##
## This file is part of Octave.
##
## Octave is free software; you can redistribute it and/or modify it
## under the terms of the GNU General Public License as published by
## the Free Software Foundation; either version 2, or (at your option)
## any later version.
##
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## WITHOUT ANY WARRANTY; without even the implied warranty of
## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the GNU
## General Public License for more details.
##
## You should have received a copy of the GNU General Public License
## along with Octave; see the file COPYING.  If not, write to the Free
## Software Foundation, Inc., 51 Franklin Street, Fifth Floor, Boston, MA
## 02110-1301, USA.

## -*- texinfo -*-
## @deftypefn {Function File} {} vol (@var{x}, @var{m}, @var{n})
## Return the volatility of each column of the input matrix @var{x}.
## The number of data sets per period is given by @var{m} (e.g. the
## number of data per year if you want to compute the volatility per
## year).  The optional parameter @var{n} gives the number of past
## periods used for computation, if it is omitted, a value of 1 is used.
## If @var{t} is the number of rows of @var{x}, @code{vol} returns the
## volatility from @code{n*m} to @var{t}.
## @end deftypefn

## Author: FL <[e-mail]>
## Description: Volatility of financial time series data

function retval = vol (X, m, n)

  if (nargin < 2)
    print_usage ();
  endif

  [xr, xc] = size (X);

  if (nargin > 2)
    if (n * m > xr)
      error ("vol: I need more data!");
    endif
  else
    n = 1;
    if (n * m > xr)
      error ("vol: I need more data!");
    endif
  endif

  U = zeros (xr - 1, xc);

  if (all (X))
    U = X ((2 : xr), :) ./ X((1 : (xr-1)), :);
  else
    error ("vol: zero element in X");
  endif

  U = log(U);
  U = U - ones (xr - 1, 1) * sum (U) / (xr - 1);

  retval = zeros (xr - n * m, xc);

  retval(1, :) = sumsq (U((1 : n*m), :));
  for i = 2 : (xr - n * m)
    retval(i, :) = retval(i - 1, :) ...
        - U(i - 1, :).^2 + U(i + n * m - 1, :).^2;
  endfor

  retval = sqrt (retval * m / (n * m - 1));

endfunction

/*
@GROUP
Finance
@SYNTAX
vol (X, m, n)
@DOC
.
@EXAMPLES
<programlisting>
</programlisting>
@NOTES
@SEE
*/