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lib/volatility/rv/Rv.md
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# RV: Realized Volatility
| Property | Value |
| ---------------- | -------------------------------- |
| **Category** | Volatility |
| **Inputs** | OHLCV bar (TBar) |
| **Parameters** | `period` (default 5), `smoothingPeriod` (default 20), `annualize` (default true), `annualPeriods` (default 252) |
| **Outputs** | Single series (Rv) |
| **Output range** | $\geq 0$ |
| **Warmup** | 1 bar |
### TL;DR
- Realized Volatility (RV) measures price volatility using the sum of squared logarithmic returns over a rolling window, then applying SMA smoothing ...
- Parameterized by `period` (default 5), `smoothingperiod` (default 20), `annualize` (default true), `annualperiods` (default 252).
- Output range: $\geq 0$.
- Requires 1 bar of warmup before first valid output (IsHot = true).
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
> "The sum of squared returns—a direct measure of how much the market actually moved, free from the assumptions embedded in standard deviation."
Realized Volatility (RV) measures price volatility using the sum of squared logarithmic returns over a rolling window, then applying SMA smoothing for stability. Unlike traditional Historical Volatility (HV) which calculates standard deviation of returns, RV directly accumulates squared returns—the raw building blocks of variance—providing a more direct measure of realized price variation.
@@ -260,4 +277,4 @@ Diverging (short < long): Volatility compression
- Andersen, T. G., Bollerslev, T., Diebold, F. X., & Labys, P. (2001). "The Distribution of Realized Exchange Rate Volatility." *Journal of the American Statistical Association*, 96(453), 42-55.
- Andersen, T. G., Bollerslev, T., Diebold, F. X., & Ebens, H. (2001). "The Distribution of Realized Stock Return Volatility." *Journal of Financial Economics*, 61(1), 43-76.
- Barndorff-Nielsen, O. E., & Shephard, N. (2002). "Econometric Analysis of Realized Volatility and Its Use in Estimating Stochastic Volatility Models." *Journal of the Royal Statistical Society: Series B*, 64(2), 253-280.
- McAleer, M., & Medeiros, M. C. (2008). "Realized Volatility: A Review." *Econometric Reviews*, 27(1-3), 10-45.
- McAleer, M., & Medeiros, M. C. (2008). "Realized Volatility: A Review." *Econometric Reviews*, 27(1-3), 10-45.