7
$\begingroup$

I have several weeks of minute-by-minute stock data (start and end prices, volume). Everything I've read so far leads me to believe there isn't a standard method for volatility, which is leaving me confused on what to use.

I want to calculate the volatility for each minute so I can see how volatility is changing through the day and whether there is a correlation with other variables. What methods would apply here?

Improve this question
$\endgroup$
1
  • $\begingroup$ amazon.ca/… has good coverage of this problem. Your biggest problem is going to be handling the intraday/intraweek seasonality. $\endgroup$
    – experquisite
    Oct 5, 2015 at 18:11

2 Answers 2

Reset to default
7
$\begingroup$

Financial modeling is often considered as a mixture of art and science. That is a way how you model your data depends on you. You can choose several approaches, for example:

  • calculate max - min price for a given minute data - a very simple approach,
  • calculate the standard deviation of minute-by-minute stock data,
  • calculate GARCH family models for measuring the volatility. This is a more complicated approach but gives you the most adapting models which can detect volatility clustering and thanks to it you can make volatility forecasts. You do not have to implement these models. They are implemented in a dedicated software (ox-metrics, gretl) or implemented in some open source libraries.

To sum up. There is no final answer. Try to use different approaches and decide which suits best for you. Probably in the end of the day GARCH family models will appear the best.

For more information, see:

Improve this answer
$\endgroup$
1
$\begingroup$

There are many ways to calculate the volatility. timeframe does not metter. it can be monthly quarterly or daily data. You can call them as volatility metrics.

Volatility Metrics

Volatility is the degree of trading price over a specific time window. Historical volatility is the degree of price changes of past market prices.Volatility indicates the risk your are taking by investing into a specific instrument.

here are some simple methods

Best and worst returns

A volatility measure is to find worst and best returns for a specific time.

For example, SPY has worst return -8% and best return +4%. Volatility measure is +4%/-8%.

Standard Deviation

Another measure is standard deviation of monthly returns.

Number of trading days in access of 1%

A fourth volatility metric is the number of trading days during a year on which the price of an asset increased or decreased by more than 1 percent.

True Range

Average true range (ATR) is a technical analysis volatility indicator originally developed by J. Welles Wilder, Jr. for commodities see : Average true range - Wikipedia, the free encyclopedia

Standard Deviation

...

I hope this helps

Improve this answer
$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.

Not the answer you're looking for? Browse other questions tagged or ask your own question.