realized_volatility

Defined in fynance.features.indicators

realized_volatility(X, w=21, period=252, axis=0, dtype=None)

Annualized realized volatility from a price series.

Rolling standard deviation of log-returns, annualized by \(\sqrt{period}\). Causal: returns are strictly past, the window expands over the first observations.

Parameters:

Xnp.ndarray[dtype, ndim=1 or 2]

Price/level series.

wint, optional

Rolling window over returns. Default 21.

periodint, optional

Annualization factor (e.g. 252 daily). Default 252.

axis{0, 1}, optional

Axis of computation. Default 0.

dtypenp.dtype, optional

Output dtype.

Returns:

np.ndarray[dtype, ndim=1 or 2]

Annualized realized volatility, aligned to X (first entry 0).