Volatility Cones

Along the lines of my research with forecasting volatility, vol cones are often used as a forecasting tool for options traders. I’m not a MatLab expert but I wrote up a function that will take a ticker, start/end date, and plot out the HV cone based on 30, 60,90,120 day lookback periods. I will be adding & changing to this hopefully and can post updates. I’m definitely open to all suggestions, tips, etc as I understand the code is likely inefficient and can be done in a much better way.

MSFT From Jan 2005 to Jan 2007
MSFT From Jan 2005 to Jan 2007

VolatilityCone.m

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~ by largecaptrader on June 27, 2009.

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