/usr/share/octave/packages/financial-0.4.0/vol.m is in octave-financial 0.4.0-1.
This file is owned by root:root, with mode 0o644.
The actual contents of the file can be viewed below.
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##
## This program is free software; you can redistribute it and/or modify it under
## the terms of the GNU General Public License as published by the Free Software
## Foundation; either version 3 of the License, or (at your option) any later
## version.
##
## This program is distributed in the hope that it will be useful, but WITHOUT
## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
## details.
##
## You should have received a copy of the GNU General Public License along with
## this program; if not, see <http://www.gnu.org/licenses/>.
## -*- texinfo -*-
## @deftypefn {Function File} {@var{volat} =} vol (@var{x}, @var{m}, @var{n})
## Return the volatility @var{volat} of each column of the input matrix @var{x}.
##
## The number of data sets per period is given by @var{m} (e.g. the
## number of data per year if you want to compute the volatility per
## year). The optional parameter @var{n} gives the number of past
## periods used for computation, if it is omitted, a value of 1 is used.
##
## If @var{t} is the number of rows of @var{x}, @code{vol} returns the
## volatility from @code{n*m} to @var{t}.
##
## @end deftypefn
function retval = vol (X, m, n)
if (nargin < 2)
print_usage ();
endif
[xr, xc] = size (X);
if (nargin > 2)
if (n * m > xr)
error ("vol: I need more data!");
endif
else
n = 1;
if (n * m > xr)
error ("vol: I need more data!");
endif
endif
U = zeros (xr - 1, xc);
if (all (X))
U = X ((2 : xr), :) ./ X((1 : (xr-1)), :);
else
error ("vol: zero element in X");
endif
U = log(U);
U = U - ones (xr - 1, 1) * sum (U) / (xr - 1);
retval = zeros (xr - n * m, xc);
retval(1, :) = sumsq (U((1 : n*m), :));
for i = 2 : (xr - n * m)
retval(i, :) = retval(i - 1, :) ...
- U(i - 1, :).^2 + U(i + n * m - 1, :).^2;
endfor
retval = sqrt (retval * m / (n * m - 1));
endfunction
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