Yang & Zhang’s realized volatility: Automated estimation in Python

Abstract

This paper presents a Python script that automates the estimation of Yang & Zhang’s stock realized volatility proxy for univariate and multivariate cases. Yang & Zhang’s realized volatility is a stock volatility proxy commonly used by financial researchers and practitioners due to its unbiasedness in the continuous limit, independence of the drift, and consistence in dealing with price jumps. The proposed script allows the efficient estimation of Yang & Zhang realized volatility with local data and the use of Yahoo Finance API.