stats_realized-volatility
Calculate realized volatility from OHLC price data using Parkinson, Garman-Klass, Yang-Zhang, and close-to-close estimators for quantitative risk analysis.
Instructions
Realized volatility: close-to-close, Parkinson, Garman-Klass, Yang-Zhang from OHLC.
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| close | Yes | Array of closing prices | |
| high | No | Optional array of high prices (for Parkinson/GK/YZ) | |
| low | No | Optional array of low prices (for Parkinson/GK/YZ) | |
| open | No | Optional array of opening prices (for GK/YZ) | |
| annualization_factor | No | Trading days per year |