AKShare 指标计算
已实现波动率指标
YZ 已实现波动率
接口: volatility_yz_rv
目标地址: https://github.com/hugogobato/Yang-Zhang-s-Realized-Volatility-Automated-Estimation-in-Python
描述: 波动率-已实现波动率-Yang-Zhang已实现波动率
限量: 单次返回日频率的已实现波动率数据
输入参数
| 名称 | 类型 | 描述 |
|---|---|---|
| data | pandas.DataFrame | 包含日期和 OHLC(开高低收) 价格的 pandas.DataFrame |
输出参数
| 名称 | 类型 | 描述 |
|---|---|---|
| date | object | - |
| rv | float64 | - |
接口示例
import akshare as ak
stock_df = ak.rv_from_stock_zh_a_hist_min_em(
symbol="000001",
start_date="2021-10-20 09:30:00",
end_date="2024-11-01 15:00:00",
period="5",
adjust=""
)
volatility_yz_rv_df = ak.volatility_yz_rv(data=stock_df)
print(volatility_yz_rv_df)
数据示例
date rv
0 2024-09-10 0.001955
1 2024-09-11 0.002207
2 2024-09-12 0.002113
3 2024-09-13 0.002216
4 2024-09-18 0.002039
5 2024-09-19 0.002631
6 2024-09-20 0.002043
7 2024-09-23 0.002116
8 2024-09-24 0.002374
9 2024-09-25 0.003624
10 2024-09-26 0.003392
11 2024-09-27 0.005944
12 2024-09-30 0.008488
13 2024-10-08 0.011529
14 2024-10-09 0.008031
15 2024-10-10 0.006964
16 2024-10-11 0.004970
17 2024-10-14 0.004435
18 2024-10-15 0.003706
19 2024-10-16 0.004293
20 2024-10-17 0.003534
21 2024-10-18 0.004322
22 2024-10-21 0.004417
23 2024-10-22 0.002922
24 2024-10-23 0.002124
25 2024-10-24 0.001814
26 2024-10-25 0.001605
27 2024-10-28 0.002125
28 2024-10-29 0.002045
29 2024-10-30 0.002428
30 2024-10-31 0.002718
31 2024-11-01 0.002932