QuanTAlib/lib/volatility/_index.md

Volatility

"Volatility is the price of admission. The question is whether the ride is worth it."

Volatility measures the magnitude of price changes, independent of direction. Low volatility indicates consolidation and coiling energy; high volatility indicates explosive movement and trend development. These indicators answer "how much?" and "how fast?", not "which way?".

Indicator	Full Name	Description
ADR	Average Daily Range	Simple High-Low range without gap adjustment.
ATR	Average True Range	Standard volatility measure accounting for gaps via True Range.
ATRN	ATR Normalized	ATR normalized to [0,1] based on historical min/max.
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	Conditional Volatility	GARCH(1,1) model for time-varying volatility.
CVI	Chaikin Volatility	Rate of change in smoothed High-Low range.
ETHERM	Elder's Thermometer	Absolute bar range in ATR units. Identifies abnormal activity.
EWMA	EWMA Volatility	Exponentially weighted squared returns with bias correction.
GKV	Garman-Klass Volatility	Efficient OHLC-based estimator with RMA smoothing.
HLV	High-Low Volatility (Parkinson)	Range-based volatility using only high-low prices.
HV	Historical Volatility (Close-to-Close)	Standard deviation of log returns with rolling window.
JVOLTY	Jurik Volatility	Adaptive volatility from JMA with 128-bar trimmed mean distribution.
JVOLTYN	Jurik Volatility Normalized	JVOLTY normalized to [0,100] scale.
MASSI	Mass Index	Range expansion/contraction for reversal detection.
NATR	Normalized ATR	ATR as percentage of close price. Also known as ATRP.
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.