Yang-Zhang volatility
- Thread starter bines
- Start date
If you are familiar with VBA, have a look here.
http://excel.itags.org/microsoft-excel/105552/
It may not be perfectly functioning, but the meat is there.
In addition, you may want to pick up "volatility trading," by E. Sinclair,
as it addresses a lot of your questions, and might have the estimator for excel included.
There is also a matlab estimator if you look around a bit.
http://excel.itags.org/microsoft-excel/105552/
It may not be perfectly functioning, but the meat is there.
In addition, you may want to pick up "volatility trading," by E. Sinclair,
as it addresses a lot of your questions, and might have the estimator for excel included.
There is also a matlab estimator if you look around a bit.