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volatility indicators

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Miha Kralj
2026-02-01 17:48:16 -08:00
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lib/volatility/_index.md
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@@ -14,12 +14,12 @@ Volatility measures the magnitude of price changes, independent of direction. Lo
| 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 | Conditional Volatility | GARCH(1,1) model for time-varying volatility. |
| CVI | Chaikin Volatility | Rate of change in smoothed High-Low range. |
| EWMA | EWMA Volatility | Exponentially weighted squared returns. |
| GKV | Garman-Klass Volatility | Efficient OHLC-based estimator. |
| HLV | High-Low Volatility | Range-based volatility without close. |
| HV | Historical Volatility | Standard deviation of 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. |