Fractal Volatility through Variation Index

Version (1.62 KB) by Han
VARINDX calculates the variation index and fractal dimension of a financial time series.
Updated 31 Jul 2011

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LOW is a column vector of the lowest price in the bar (second, minute,
HIGH is a column vector of the highest price in the bar.

VINDX is the variation index of the data.
FRACDIM is the fractal dimension of the data.
V_SIGMA is the variation with interval size sigma.
SIGMA is the actual interval size. Units of sigma is index.

A minimum of 128 datapoints are recommended for best results.

Implements method outlined in this paper:

The variation index method is much more efficient than box counting.

Cite As

Han (2024). Fractal Volatility through Variation Index (, MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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