Volatility and Covariance
22 algorithms · 4 families · D10
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volatility-and-covariance/llms.txt lists all
22 algorithms here — signature, shape and verification tier, one line each.
Every reference page below also exists as markdown at <page URL>index.md.
Historical Estimators#
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Close-to-Close Volatility
verified
calculate(data) -
Parkinson Volatility
verified
calculate(data) -
Garman-Klass Volatility
verified
calculate(data) -
Rogers-Satchell Volatility
verified
calculate(data) -
Yang-Zhang Volatility
verified
calculate(data)
Realized Measures#
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Realized Variance
verified
calculate(data) -
Realized Covariance
verified
calculate(data) -
Bipower Variation
verified
calculate(data) -
Jump-Variation Detector
verified
calculate(data) -
Realized Kernel
verified
calculate(data)
Conditional Volatility#
Covariance Estimation#
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Sample Covariance
verified
calculate(data) -
EWMA Covariance
verified
calculate(data) -
Ledoit-Wolf Shrinkage
verified
calculate(data) -
Oracle Approximating Shrinkage
verified
calculate(data) -
Factor-Model Covariance
verified
calculate(data) -
Graphical-Lasso Covariance
verified
calculate(data)