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Finding Python Implementations of the Yang–Zhang Volatility Estimator

Article Quant Q&A · Author: LawrenceJB
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Summary

The document asks where to find a Python implementation of the Yang–Zhang estimator for historical stock volatility. The response points readers to a public repository described as containing a collection of volatility estimators associated with a volatility trading book.

The exchange provides a resource lead rather than explaining the estimator, showing its calculation, or comparing implementations. It gives no evidence about the library’s maintenance, accuracy, dependencies, or suitability for a particular workflow, so users would need to inspect and validate the implementation before relying on it.

Key ideas

  • A public code repository is suggested as a source for Yang–Zhang volatility estimation.
  • The discussion does not describe the estimator’s formula or assumptions.
  • The repository’s accuracy and maintenance are not assessed.

Tags

EquitiesVolatilityTechnical indicators
Full text
# Where can I find a Python module for Stock volatility estimators using Yang Zhang method?


# Where can I find a Python module for Stock volatility estimators using Yang Zhang method?












Does anyone know of a Python library that includes the calculation of historical stock volatility using the Yang Zhang estimator? I have tried and failed to find one but would expect this to have been implemented in one of the Python libraries used by quants.

## Answer by Denis Gorodetskiy (score 3)

https://quant.stackexchange.com/a/71786

There's a github repository for this: "A complete set of volatility estimators based on Euan Sinclair's Volatility Trading."

https://github.com/jasonstrimpel/volatility-trading

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.