Expand description
Volatility analysis kernels.
This module provides volatility modeling:
- GARCH (Generalized Autoregressive Conditional Heteroskedasticity)
- EWMA (Exponentially Weighted Moving Average) volatility
- Realized volatility measures
Structsยง
- Asset
Volatility State - Per-asset volatility state for Ring mode operations.
- Volatility
Analysis - Volatility analysis kernel using GARCH models.
- Volatility
State - Volatility analysis state for Ring mode operations.