Historical Volatility

This fork of the HistoricalVolatility repository. This fork updates the Yang-Zhang volatility estimator in the estimate_volatility function. The changes made to the function were:

1. Updated the calculation of the sigma_c^2 volatility component to use Open/Close data rather than returns.
2. Updated the calculation of Roger-Satchel volatility component to use use an average calculated with 1/n rather than 1/(n-1).

These two corrections match the reference equations in the TTR documentation, which follow the equations in the original Yang-Zhang paper.

Tests on a sample dataset show the results of the updated function match that of the TTR output of the volatility function for Yang-Zhang volatility.

The original description of the repository is below.

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About

The functions in the repository can calculate and analyse the following historical volatility estimators:

• the traditional Close-to-Close estimator and a variant that uses demeaned returns;
• the Parkinson estimator (1980);
• the Garman-Klass estimator (1980) and a variant proposed by Yang & Zhang (2000);
• the Rogers-Satchell estimator (1991);
• the Hodges-Tompkins estimator (2002);
• the Yang-Zhang estimator (2000);
• the Meilijson estimator (2009).

Contributions

If you want to start a discussion about the project, just open an issue. Contributions are more than welcome, fork and create pull requests as needed.