Volatility DiggerAutomated toolkit which dig into any index and rank substituents according to their volatility Written in Matlab. Works with Bloomberg. Allow you quickly to get the ranked list of the indices' constituents according to their volatility and output this list to Excel. Helps to identify changes in behavior of long-term volatility vs. short-term volatility, helps to identify the consistency of the volatility of each components, helps to do comparative analysis of the different investment based on the volatility ranking. |
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