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