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more volatilty

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Miha Kralj
2026-02-02 13:42:47 -08:00
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lib/volatility/_index.md
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@@ -6,30 +6,29 @@ Volatility measures the magnitude of price changes, independent of direction. Lo
| Indicator | Full Name | Description |
| :--- | :--- | :--- |
| [ADR](lib/volatility/adr/Adr.md) | Average Daily Range | Simple High-Low range without gap adjustment. |
| [ATR](lib/volatility/atr/Atr.md) | Average True Range | Standard volatility measure accounting for gaps via True Range. |
| [ATRN](lib/volatility/atrn/Atrn.md) | ATR Normalized | ATR normalized to [0,1] based on historical min/max. |
| [ATRP](lib/volatility/atrp/Atrp.md) | ATR Percent | ATR as percentage of close price. |
| BBW | Bollinger Band Width | Distance between upper and lower Bollinger Bands. |
| BBWN | BB Width Normalized | BBW normalized to [0,1] range. |
| BBWP | BB Width Percentile | BBW percentile rank over lookback. |
| CCV | Close-to-Close Volatility | Annualized volatility from log returns. |
| [CV](lib/volatility/cv/Cv.md) | Conditional Volatility | GARCH(1,1) model for time-varying volatility. |
| [CVI](lib/volatility/cvi/Cvi.md) | Chaikin Volatility | Rate of change in smoothed High-Low range. |
| [EWMA](lib/volatility/ewma/Ewma.md) | EWMA Volatility | Exponentially weighted squared returns with bias correction. |
| [GKV](lib/volatility/gkv/Gkv.md) | Garman-Klass Volatility | Efficient OHLC-based estimator with RMA smoothing. |
| [HLV](lib/volatility/hlv/Hlv.md) | High-Low Volatility (Parkinson) | Range-based volatility using only high-low prices. |
| [HV](lib/volatility/hv/Hv.md) | Historical Volatility (Close-to-Close) | Standard deviation of log returns with rolling window. |
| JVOLTY | Jurik Volatility | Low-lag, smooth Jurik volatility. |
| JVOLTYN | Jurik Volatility Normalized | JVOLTY normalized to [0,1]. |
| MASSI | Mass Index | Range expansion/contraction for reversal detection. |
| NATR | Normalized ATR | ATR as percentage (equivalent to ATRP). |
| PV | Parkinson Volatility | High-Low estimator assuming no drift. |
| RSV | Rogers-Satchell Volatility | OHLC estimator with drift adjustment. |
| RV | Realized Volatility | High-frequency intraday volatility. |
| RVI | Relative Volatility Index | Directional volatility measure. |
| TR | True Range | Single-bar volatility with gap capture. |
| UI | Ulcer Index | Downside risk and drawdown depth/duration. |
| VOV | Volatility of Volatility | Second derivative: how fast volatility changes. |
| VR | Volatility Ratio | Current TR relative to average TR. |
| YZV | Yang-Zhang Volatility | OHLC plus overnight gap estimator. |
| [ADR](adr/Adr.md) | Average Daily Range | Simple High-Low range without gap adjustment. |
| [ATR](atr/Atr.md) | Average True Range | Standard volatility measure accounting for gaps via True Range. |
| [ATRN](atrn/Atrn.md) | ATR Normalized | ATR normalized to [0,1] based on historical min/max. |
| [ATRP](atrp/Atrp.md) | ATR Percent | ATR as percentage of close price. |
| [BBW](bbw/Bbw.md) | Bollinger Band Width | Distance between upper and lower Bollinger Bands. |
| [BBWN](bbwn/Bbwn.md) | BB Width Normalized | BBW normalized to [0,1] range. |
| [BBWP](bbwp/Bbwp.md) | BB Width Percentile | BBW percentile rank over lookback. |
| [CCV](ccv/Ccv.md) | Close-to-Close Volatility | Annualized volatility from log returns. |
| [CV](cv/Cv.md) | Conditional Volatility | GARCH(1,1) model for time-varying volatility. |
| [CVI](cvi/Cvi.md) | Chaikin Volatility | Rate of change in smoothed High-Low range. |
| [EWMA](ewma/Ewma.md) | EWMA Volatility | Exponentially weighted squared returns with bias correction. |
| [GKV](gkv/Gkv.md) | Garman-Klass Volatility | Efficient OHLC-based estimator with RMA smoothing. |
| [HLV](hlv/Hlv.md) | High-Low Volatility (Parkinson) | Range-based volatility using only high-low prices. |
| [HV](hv/Hv.md) | Historical Volatility (Close-to-Close) | Standard deviation of log returns with rolling window. |
| [JVOLTY](jvolty/Jvolty.md) | Jurik Volatility | Adaptive volatility from JMA with 128-bar trimmed mean distribution. |
| [JVOLTYN](jvoltyn/Jvoltyn.md) | Jurik Volatility Normalized | JVOLTY normalized to [0,100] scale. |
| [MASSI](massi/Massi.md) | Mass Index | Range expansion/contraction for reversal detection. |
| [NATR](natr/Natr.md) | Normalized ATR | ATR as percentage (equivalent to ATRP). |
| [RSV](rsv/Rsv.md) | Rogers-Satchell Volatility | OHLC estimator with drift adjustment. |
| [RV](rv/Rv.md) | Realized Volatility | High-frequency intraday volatility. |
| [RVI](rvi/Rvi.md) | Relative Volatility Index | Directional volatility measure. |
| [TR](tr/Tr.md) | True Range | Single-bar volatility with gap capture. |
| [UI](ui/Ui.md) | Ulcer Index | Downside risk and drawdown depth/duration. |
| [VOV](vov/Vov.md) | Volatility of Volatility | Second derivative: how fast volatility changes. |
| [VR](vr/Vr.md) | Volatility Ratio | Current TR relative to average TR. |
| [YZV](yzv/Yzv.md) | Yang-Zhang Volatility | OHLC plus overnight gap estimator. |