intraday_volatility

qf_lib.common.utils.volatility.intraday_volatility.intraday_volatility(returns: ReturnsSeries, interval_in_minutes: int) float[source]

Calculates annualised volatility from intraday samples of given interval.

Parameters:
  • returns (ReturnsSeries) – timeseries of intraday returns

  • interval_in_minutes (int) – interval between samples (in minutes)

Returns:

annualized intraday volatility calculated from intraday returns

Return type:

float