rolling_volatility
- qf_lib.common.utils.volatility.rolling_volatility.rolling_volatility(qf_series: QFSeries, frequency: Optional[Frequency] = None, annualise: bool = True, window_size: Optional[int] = None) QFSeries[source]
Calculates the rolling volatility for the given series of returns. If the annualise parameter is set to be True, then it is obligatory to specify frequency.
- Parameters:
qf_series (QFSeries) – series of returns or prices
frequency (Frequency) – the frequency of samples in the returns series; it is only obligatory to specify frequency if the annualise parameter is set to True, which is a default value
annualise (bool) – True if the volatility values should be annualised; False otherwise. If it is set to True, then it is obligatory to specify a frequency of the returns series.
window_size (int) – number of samples from which the rolling volatility will be calculated. If it is not set, then only overall volatility (of the whole series) will be calculated
- Returns:
Series of volatility values for each day concerning last window_size days.
- Return type: