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Chaikin volatility

Using a fints object for the Data argument of chaikvolat is not recommended. Use a matrix, timetable, or table instead for financial time series. For more information, see Convert Financial Time Series Objects fints to Timetables.



volatility = chaikvolat(Data) calculates the Chaikin volatility from a data series of high and low stock prices.


volatility = chaikvolat(___,Name,Value) adds optional name-value pair arguments.


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Load the file SimulatedStock.mat, which provides a timetable (TMW) for financial data for TMW stock.

load SimulatedStock.mat
volatility = chaikvolat(TMW,'NumPeriods',14,'WindowSize',14);
title('Chaikin Volatility for TMW')

Figure contains an axes object. The axes object with title Chaikin Volatility for TMW contains an object of type line.

Input Arguments

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Data with high, low, open, close information, specified as a vector, matrix, table, or timetable. For matrix input, Data is an M-by-2 matrix of high and low prices stored in the first and second columns. Timetables and tables with M rows must contain variables named 'High' and 'Low' (case insensitive).

Data Types: double | table | timetable

Name-Value Arguments

Specify optional comma-separated pairs of Name,Value arguments. Name is the argument name and Value is the corresponding value. Name must appear inside quotes. You can specify several name and value pair arguments in any order as Name1,Value1,...,NameN,ValueN.

Example: volatility = chaikvolat(TMW,'NumPeriods',10,'WindowSize',10)

Period difference, specified as the comma-separated pair consisting of 'NumPeriods' and a scalar positive integer.

Data Types: double

Length of the exponential moving average in periods, specified as the comma-separated pair consisting of 'WindowSize' and a scalar positive integer.

Data Types: double

Output Arguments

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Chaikin volatility, returned with the same number of rows (M) and the same type (matrix, table, or timetable) as the input Data.

More About

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Chaikin volatility

Chaikin volatility calculates the Chaikin's volatility from the series of high and low stock prices.

By default, Chaikin's volatility values are based on a 10-period exponential moving average and 10-period difference.


[1] Achelis, S. B. Technical Analysis from A to Z. Second Edition. McGraw-Hill, 1995, pp. 304–305.

Introduced before R2006a