This is a summary of links featured on Quantocracy on Tuesday, 07/25/2023. To see our most recent links, visit the Quant Mashup. Read on readers!
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All the vols, for quant_rv [Babbage9010]Its just too easy to do all the volatility measures, with quantmod (well, with TTR actually). Lets skip all the preliminaries and have a look. And, a Pearson pairs table: C2C Parkinson Rogers-Satchell Garman-Klass,Yang-Zhang C2C 1.0000000 0.4395541 0.2619220 0.3573710 Parkinson 0.4395541 1.0000000 0.8322215 0.8214485 Rogers-Satchell 0.2619220 0.8322215 1.0000000 0.8649953