Volatility

Overview


Volatility can be calculated using the Volatility library.

Straight Vol



let vl = await import('/lib/time-series/volatility/v1.0.0/volatility.mjs');
let data = [{"return":0.01},{"return":-0.01},{"return":0.002},{"return":0.013},{"return":0.007},{"return":-0.017},{"return":-0.01},];

let size = 3;

let data2 = vl.volatility(data.map(p=>p.return), size);
Try it!

EWMA Vol


let vl = await import('/lib/time-series/volatility/v1.0.0/volatility.mjs');
let data = [{"return":0.01},{"return":-0.01},{"return":0.002},{"return":0.013},{"return":0.007},{"return":-0.017},{"return":-0.01},];

let alpha = 0.94;

let vol = vl.ewmaVolatility(data.map(p=>p.return), alpha);
Try it!

Contents