If I track the the volatility of a stock on a sample period and at every point in time where I record the volatility I would like to also record the CDF of the volatility. Should I take the entire volatility sample and compute its CDF or should I compute and update the CDF at every point in time?
In MATLAB I did the following
[dens, xi]=ksdensity(volatility,volatility,'function','CDF') and I get the CDF at every volatility.
Is this the correct way to do it? What are the alternatives and the pros and cons?