1

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.

LawrenceJB
  • 11
  • 3
  • 1
    R code is here: https://github.com/joshuaulrich/TTR/blob/f680055d6448f14c8138d14ccff5bfac61382e79/R/volatility.R#L214 I would opt to implement it myself and be done with it. – Bob Jansen Jun 08 '20 at 18:28
  • An example of its use is discussed here https://quant.stackexchange.com/questions/27741/understanding-yang-zhang-volatility-estimator – nbbo2 Jun 08 '20 at 19:42
  • 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 – amdopt Jul 07 '20 at 19:35
  • @amdopt - I found a Udemy course with a code block for the Y-Z estimator so I've used that. Thanks – LawrenceJB Jul 17 '20 at 18:59

1 Answers1

3

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

Denis Gorodetskiy
  • 161
  • 5