1
$\begingroup$

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.

$\endgroup$
4
  • 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
    Jun 8, 2020 at 18:28
  • $\begingroup$ An example of its use is discussed here quant.stackexchange.com/questions/27741/… $\endgroup$
    – nbbo2
    Jun 8, 2020 at 19:42
  • $\begingroup$ 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 $\endgroup$
    – amdopt
    Jul 7, 2020 at 19:35
  • $\begingroup$ @amdopt - I found a Udemy course with a code block for the Y-Z estimator so I've used that. Thanks $\endgroup$
    – LawrenceJB
    Jul 17, 2020 at 18:59

1 Answer 1

3
$\begingroup$

There's a github repository for this: "A complete set of volatility estimators based on Euan Sinclair's Volatility Trading."

https://github.com/jasonstrimpel/volatility-trading

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Not the answer you're looking for? Browse other questions tagged or ask your own question.