Does anyone know of a Python library that includes the calculation of historical stock volatility using the Yang Zhang estimator? I have tried and failed to find one but would expect this to have been implemented in one of the Python libraries used by quants.
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1$\begingroup$ R code is here: github.com/joshuaulrich/TTR/blob/… I would opt to implement it myself and be done with it. $\endgroup$– Bob Jansen ♦Commented Jun 8, 2020 at 18:28
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$\begingroup$ An example of its use is discussed here quant.stackexchange.com/questions/27741/… $\endgroup$– nbbo2Commented Jun 8, 2020 at 19:42
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$\begingroup$ Are you still looking for an answer to this? I don't know of a module but I do have a python function for this $\endgroup$– amdoptCommented Jul 7, 2020 at 19:35
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$\begingroup$ @amdopt - I found a Udemy course with a code block for the Y-Z estimator so I've used that. Thanks $\endgroup$– LawrenceJBCommented Jul 17, 2020 at 18:59
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There's a github repository for this: "A complete set of volatility estimators based on Euan Sinclair's Volatility Trading."
