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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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    $\begingroup$ 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 '20 at 18:28
  • $\begingroup$ An example of its use is discussed here quant.stackexchange.com/questions/27741/… $\endgroup$
    – noob2
    Jun 8 '20 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 '20 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 '20 at 18:59

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