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引用次数: 0
摘要
本文介绍了一个 Python 脚本，该脚本可以自动估算单变量和多变量情况下杨和章的股票已实现波动率代理。Yang & Zhang 的已实现波动率是金融研究人员和从业人员常用的股票波动率替代指标，因为它在连续极限中无偏、独立于漂移，并且在处理价格跳跃时具有一致性。所提出的脚本允许利用本地数据和雅虎财经 API 高效估计杨和张的已实现波动率。
Yang & Zhang’s realized volatility: Automated estimation in Python
This paper presents a Python script that automates the estimation of Yang & Zhang’s stock realized volatility proxy for univariate and multivariate cases. Yang & Zhang’s realized volatility is a stock volatility proxy commonly used by financial researchers and practitioners due to its unbiasedness in the continuous limit, independence of the drift, and consistence in dealing with price jumps. The proposed script allows the efficient estimation of Yang & Zhang realized volatility with local data and the use of Yahoo Finance API.
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