2024-10-08 18:48:19 -07:00
|
|
|
# Volatility Measures
|
2024-10-04 21:31:25 -07:00
|
|
|
|
2024-10-08 18:48:19 -07:00
|
|
|
## Single Value Input (Typically Closing Prices)
|
2024-10-04 21:31:25 -07:00
|
|
|
|
2024-10-14 08:45:32 -07:00
|
|
|
- **Jurik Volatility (Volty)**
|
2024-10-08 18:48:19 -07:00
|
|
|
- **Standard Deviation**
|
2024-10-23 22:04:21 -07:00
|
|
|
- **RVI Relative Volatility Index**
|
|
|
|
|
- **CMO Chande Momentum Oscillator**
|
|
|
|
|
- **Historical Volatility**
|
|
|
|
|
- **Average True Range (ATR) (High, Low, Close)**
|
|
|
|
|
|
|
|
|
|
- Normalized ATR
|
2024-10-08 18:48:19 -07:00
|
|
|
- Ulcer Index
|
|
|
|
|
- ARCH/GARCH Models
|
|
|
|
|
- Exponential Weighted Moving Average (EWMA) Volatility
|
|
|
|
|
- Conditional Volatility
|
|
|
|
|
- Volatility Ratio
|
|
|
|
|
- Close-to-Close Volatility
|
|
|
|
|
- Volatility of Volatility (VOV)
|
|
|
|
|
- Volatility Cone
|
|
|
|
|
- Bollinger Bands
|
|
|
|
|
- Stochastic Volatility: Typically modeled using closing prices, but can incorporate other price information
|
|
|
|
|
- Garman-Klass Volatility
|
|
|
|
|
- Rogers-Satchell Volatility
|
|
|
|
|
- Yang-Zhang Volatility
|
|
|
|
|
- Parkinson Volatility (High, Low)
|
|
|
|
|
- Chaikin Volatility (High, Low)
|
|
|
|
|
- Keltner Channels (typically Close, High, Low)
|
|
|
|
|
- High-Low Volatility (High, Low)
|
