gavindiaz/QuanTAlib
1
0
Fork 0
mirror of https://github.com/mihakralj/QuanTAlib.git synced 2026-08-18 18:48:05 +00:00
Code Issues Packages Projects Releases Wiki Activity

Merge branch 'dev'

Browse Source
This commit is contained in:
Miha Kralj
2026-03-13 13:47:10 -07:00
parent a8946cfab7 c75135ab14
commit 86a1db286c
404 changed files with 2754 additions and 1763 deletions
Download Patch File Download Diff File Expand all files Collapse all files
lib/volatility/rv/Rv.md
+2 -4
View File
@@ -13,9 +13,7 @@
| **PineScript** | [rv.pine](rv.pine) |
- 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).
- **Similar:** [HV](../hv/hv.md), [EWMA](../ewma/ewma.md) | **Complementary:** High-frequency analysis | **Trading note:** Realized Volatility; sum of squared returns.
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
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.
@@ -276,4 +274,4 @@ 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.