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main.m
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main.m
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% Primary executable file (run all file)
clear; clc;
%% set the primary working directory
root_dir = pwd;
% enter the root directory
cd(root_dir)
%% add paths to acess files by naming convention
addpath([root_dir filesep 'Code'])
addpath([root_dir filesep 'Code/lib'])
addpath([root_dir filesep 'Input'])
addpath([root_dir filesep 'Temp'])
addpath([root_dir filesep 'Output'])
addpath([root_dir filesep 'Output' filesep 'autocorrelations'])
addpath([root_dir filesep 'Output' filesep 'garch-forecasts'])
addpath([root_dir filesep 'Output' filesep 'macro-announcements'])
addpath([root_dir filesep 'Output' filesep 'macro-announcements' filesep ...
'regressions'])
addpath([root_dir filesep 'Output' filesep 'macro-announcements' filesep ...
'responses'])
addpath([root_dir filesep 'Output' filesep 'macro-announcements' filesep ...
'buckets'])
addpath([root_dir filesep 'Output' filesep 'macro-announcements' filesep ...
'buckets' filesep 'iv'])
addpath([root_dir filesep 'Output' filesep 'macro-announcements' filesep ...
'buckets' filesep 'rv'])
addpath([root_dir filesep 'Output' filesep 'macro-announcements' filesep ...
'buckets' filesep 'vrp'])
%% running project scripts in synchronous order
run('dataReader.m'); % read in data from source
run('volGraphs.m'); % produce preliminary vol graphs
run('forecastRV.m'); % forecast realized volatility
run('vrpCalculation.m'); % compute the variance risk premia
run('vrpGraphs.m'); % produce graphs that use VRP measurements
run('macroBucket.m'); % produce bar graphs for macro-responses
run('macroRegress.m'); % perform regression on macro-surprises
run('macroAggregate.m'); % examine reponse function to macro-surprises