Realized Measures
5 algorithms in Volatility and Covariance · 5 with asserted arithmetic.
In this family#
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Realized Variance verified
Identify which squared return dominates the measured variation. Supplied-parameter educational reference; no fitted performance claim.
calculate(data) -
Realized Covariance verified
Pair exact intervals, then inspect positive and negative products. Supplied-parameter educational reference; no fitted performance claim.
calculate(data) -
Bipower Variation verified
See how a shock affects its two adjacent absolute products. Supplied-parameter educational reference; no fitted performance claim.
calculate(data) -
Jump-Variation Detector verified
Separate the observed variation difference from its uncertainty and threshold. Supplied-parameter educational reference; no fitted performance claim.
calculate(data) -
Realized Kernel verified
Explain each weighted lag correction to realized variance. Supplied-parameter educational reference; no fitted performance claim.
calculate(data)
What they share#
Every topic here is a record-transform, so once you have
called one the rest follow the same shape. Import paths differ only in the final segment:
import { calculate } from "fintech-algorithms/volatility-and-covariance/realized-measures/realized-variance";
import { calculate } from "fintech-algorithms/volatility-and-covariance/realized-measures/realized-covariance";Read them in the order above — the sequence is pedagogical, not alphabetical.
Where this sits#
Volatility and Covariance collects 22 algorithms across 4 families. For the concept behind this family rather than the call signatures, see the concept guides.