intraday_volatility¶
-
qf_lib.common.utils.volatility.intraday_volatility.
intraday_volatility
(returns: qf_lib.containers.series.returns_series.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