Volatility Calculator

Calculate various volatility metrics for financial instruments.

Features

Historical Volatility (close-to-close)
Parkinson Volatility (high-low estimator)
Garman-Klass Volatility (OHLC estimator)
EWMA Volatility (RiskMetrics)
Realized Volatility (high-frequency)
Volatility Cone Analysis

Usage

from volatility_calculator import historical_volatility, volatility_cone

prices = [100, 102, 101, 103, 105, 104, 106]
vol = historical_volatility(prices, window=5)
print(f"Volatility: {vol:.2%}")

cone = volatility_cone(prices)

Methods

Historical Volatility

Standard deviation of log returns, annualized to 252 trading days.

Parkinson Volatility

Uses high-low range, more efficient than close-to-close.

Garman-Klass Volatility

Most efficient OHLC estimator, accounts for opening jumps.

EWMA Volatility

Exponentially weighted moving average, gives more weight to recent data.

Volatility Cone

Shows volatility distribution across different time horizons.