Skip to content
OpenQuant OpenQuant Documentation

util::volatility

Subject

Section titled “Subject”

Market Microstructure, Dependence and Regime Detection

Why This Module Exists

Section titled “Why This Module Exists”

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

Mathematical Foundations

Section titled “Mathematical Foundations”

Parkinson

Section titled “Parkinson”

σP2=14ln⁡21n∑(ln⁡(Ht/Lt))2\sigma_P^2=\frac{1}{4\ln 2}\frac{1}{n}\sum (\ln(H_t/L_t))^2

Yang-Zhang

Section titled “Yang-Zhang”

σYZ2=σo2+kσc2+(1−k)σrs2\sigma_{YZ}^2=\sigma_o^2+k\sigma_c^2+(1-k)\sigma_{rs}^2

Usage Examples

Section titled “Usage Examples”

Rust

Section titled “Rust”

Compute daily and range-based volatility

Section titled “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);

API Reference

Section titled “API Reference”

Rust API

Section titled “Rust API”
  • get_daily_vol
  • get_parksinson_vol
  • get_garman_class_vol
  • get_yang_zhang_vol

Implementation Notes

Section titled “Implementation Notes”
  • Choose estimator based on available fields and microstructure noise.
  • Daily-vol lookback should be matched to event horizon.