{"repo":"vivek-v-rao/Intraday-Vol","free":true,"listed":false,"github":"https://github.com/vivek-v-rao/Intraday-Vol","clone":"git clone https://github.com/vivek-v-rao/Intraday-Vol.git","description":"Compare realized volatility estimators for intraday data","language":"Python","stars":11,"topics":["finance","realized-volatility","volatility","garch","quantitative-finance","statistics","time-series-analysis","yang-zhang","semivariance"],"license":"MIT","category":"trading","readme_excerpt":"Intraday-Vol A Python toolkit for computing, analysing, and modelling intraday realized volatility from 5-minute OHLCV bar data. Data format All scripts expect a CSV file with 5-minute OHLCV bars and the following columns: Column Description --- --- Datetime Bar timestamp (UTC or tz-aware ISO 8601) Open , High , Low , Close Bar prices Volume Bar volume Dividends , Stock Splits , Capital Gains Corporate actions (may be 0) Data in this format can be downloaded directly from Yahoo Finance using the yfinance Python package: Volatility estimators ( vol estimators.py ) Twenty annualised daily volatility measures computed from bar data: Close-to-close family - Close-to-close, close-to-close+ (upside), close-to-close− (downside) OHLC estimators - Parkinson (1980), Garman–Klass (1980), Rogers–Satchell (1991), Yang–Zhang (2000) Intraday realized measures (from 5-min bar returns) - Realized variance (RV), bipower variation (BV), MedRV - Realized semivariance+ and semivariance− - Realized range - Subsampled RV (Zhang et al. 2005) - Two-scale realized variance / TSRV (Zhang et al. 2005) - Realized kernel with Parzen weights (Barndorff-Nielsen et al. 2008) Intraday periodicity adjustment ( adjust.py ): optionally divides each 5-min bar return by its cross-day average periodic component before computing realized measures, reducing open/close bias. Scripts xintraday vol.py — descriptive analysis Summary statistics, autocorrelations, and cross-correlations for all 20 vol measures. --- xintrad","default_branch":null,"files":null,"tree":[],"storefront":"/r/vivek-v-rao","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/vivek-v-rao/Intraday-Vol/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}