fintech-algorithms
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Volatility and Covariance

22 algorithms · 4 families · D10

Reading this with a program? 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#

Realized Measures#

Conditional Volatility#

  • ARCH verified calculate(data)
  • GARCH verified calculate(data)
  • EGARCH verified calculate(data)
  • GJR-GARCH verified calculate(data)
  • FIGARCH verified calculate(data)
  • HAR-RV verified calculate(data)

Covariance Estimation#