matlab计算历史波动率,计算历史波动率的几个问题

1. Theoretically use trading hours*60. The reason is the same as how you calc the annualized daily volatility. Remember in step 2. when you calc std, you actually average the squared return by 252. So the number of period to calc std should be consistentw with the number of period you put in the square. But intraday data is more noisy, you'd better need other ways to model and calc it.

2. because you divide 252 in calc std, you already assumed the 252 business days return are i.i.d, which means they have no autocorrelation, no weekend effect. But what you said makes some sense, because the return from Friday to Monday usually contains more info.Then what you can do is either omit it or multiply 1/3 of that F-M return. Or do a regression to see on average how much that return is higher in magnitude than normal weekdays' return.

3. Theoretically it should be. But it also depends the data period you are choosing.