Module volatility

Module volatility 

Source
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Volatility analysis kernels.

This module provides volatility modeling:

  • GARCH (Generalized Autoregressive Conditional Heteroskedasticity)
  • EWMA (Exponentially Weighted Moving Average) volatility
  • Realized volatility measures

Structsยง

AssetVolatilityState
Per-asset volatility state for Ring mode operations.
VolatilityAnalysis
Volatility analysis kernel using GARCH models.
VolatilityState
Volatility analysis state for Ring mode operations.