util::volatility

Market Microstructure, Dependence and Regime Detection

Volatility estimators used across labeling and risk workflows.

Why This Module Exists

Volatility is a foundational scaling target for barriers, sizing, and risk controls.

Key Public APIs

get_daily_vol
get_parksinson_vol
get_garman_class_vol
get_yang_zhang_vol

Core Math

Parkinson

\[\sigma_P^2=\frac{1}{4\ln 2}\frac{1}{n}\sum (\ln(H_t/L_t))^2\]

Yang-Zhang

\[\sigma_{YZ}^2=\sigma_o^2+k\sigma_c^2+(1-k)\sigma_{rs}^2\]

Code Examples

Compute daily and range-based volatility

use openquant::util::volatility::{get_daily_vol, get_parksinson_vol};

let dv = get_daily_vol(&close, 100);
let pv = get_parksinson_vol(&high, &low, 20);

Implementation Notes

Choose estimator based on available fields and microstructure noise.
Daily-vol lookback should be matched to event horizon.