Code for Stock Volatility

// This pseudo-code function returns stock volatility given observed period
double getVolatility(double[] price)
{
	// OBSERVATION = size of price[] plus zero position. Zero position is to calculate return on day 1
	for (i = 0 ; i < OBSERVATION + 1 ; i++)
	{
		muy[i] = log(price[i+1]/price[i]);
		meanmuy += muy[i];
	}
	meanmuy /= OBSERVATION;

	for (i = 0 ; i < OBSERVATION ; i++)
	{
		summuy += (muy[i] - meanmuy)^2;
	}

	sigma = sqrt(1/(OBSERVATION-1) * summuy) / sqrt(TRADINGDAYSPERYEAR);

	return sigma;
}

// Sample code to calculate rolling volatility using the function
for (i = 0 ; i < OBSERVATION - ROLL + 1 ; i++)
{
	for (j = 0 ; j < ROLL ; j++)
	{
		priceSet[j] = price[j+i];
	}
	volatility[i] = getVolatility(priceSet);
}

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