Domain atlas/D10/Volatility and Covariance

D10 / Territory 10 of 49

Volatility and Covariance

Estimate changing dispersion and co-movement.

22 released builds 4 algorithm familiesIn release
D10 · VOLATILITY AND COVARIANCE
D10Canonical / Tested / Open

Published work

Released builds
in this territory.

Every card below is included in the current governed release with its article, sources, Python, TypeScript, and available labs.

Search the released library
D10-F01

Historical Estimators

5 builds
01

Volatility and Covariance / Historical Estimators

Close-to-Close Volatility

Observe a close shock enter and leave centered return dispersion.
7 min Python + TypeScriptFoundation
02

Volatility and Covariance / Historical Estimators

Parkinson Volatility

Change intraday range while keeping endpoint prices fixed.
7 min Python + TypeScriptIntermediate
03

Volatility and Covariance / Historical Estimators

Garman-Klass Volatility

See the range term and body correction under valid OHLC geometry.
7 min Python + TypeScriptIntermediate
04

Volatility and Covariance / Historical Estimators

Rogers-Satchell Volatility

Track the upper and lower log-distance products.
7 min Python + TypeScriptIntermediate
05

Volatility and Covariance / Historical Estimators

Yang-Zhang Volatility

Separate overnight, weighted body and weighted range contributions.
7 min Python + TypeScriptAdvanced
D10-F02

Realized Measures

5 builds
01

Volatility and Covariance / Realized Measures

Realized Variance

Identify which squared return dominates the measured variation.
6 min Python + TypeScriptIntermediate
02

Volatility and Covariance / Realized Measures

Realized Covariance

Pair exact intervals, then inspect positive and negative products.
6 min Python + TypeScriptIntermediate
03

Volatility and Covariance / Realized Measures

Bipower Variation

See how a shock affects its two adjacent absolute products.
6 min Python + TypeScriptAdvanced
04

Volatility and Covariance / Realized Measures

Jump-Variation Detector

Separate the observed variation difference from its uncertainty and threshold.
6 min Python + TypeScriptAdvanced
05

Volatility and Covariance / Realized Measures

Realized Kernel

Explain each weighted lag correction to realized variance.
6 min Python + TypeScriptAdvanced
D10-F03

Conditional Volatility

6 builds
01

Volatility and Covariance / Conditional Volatility

ARCH

Follow a squared shock through a finite coefficient queue.
6 min Python + TypeScriptIntermediate
02

Volatility and Covariance / Conditional Volatility

GARCH

Separate new shock information from carried variance.
6 min Python + TypeScriptIntermediate
03

Volatility and Covariance / Conditional Volatility

EGARCH

Compare signed standardized shocks on the log-variance scale.
6 min Python + TypeScriptAdvanced
04

Volatility and Covariance / Conditional Volatility

GJR-GARCH

Isolate the extra term activated by a negative lagged residual.
6 min Python + TypeScriptAdvanced
05

Volatility and Covariance / Conditional Volatility

FIGARCH

Keep retained fractional weights and omitted backcast mass separate.
6 min Python + TypeScriptAdvanced
06

Volatility and Covariance / Conditional Volatility

HAR-RV

Watch one elevated session enter and leave three overlapping horizons.
6 min Python + TypeScriptAdvanced
D10-F04

Covariance Estimation

6 builds
01

Volatility and Covariance / Covariance Estimation

Sample Covariance

Add complete rows and audit sample means, denominator and cells.
6 min Python + TypeScriptFoundation
02

Volatility and Covariance / Covariance Estimation

EWMA Covariance

Watch the same new vector compete with the existing matrix.
6 min Python + TypeScriptIntermediate
03

Volatility and Covariance / Covariance Estimation

Ledoit-Wolf Shrinkage

Compare estimated outer-product noise with target distance.
6 min Python + TypeScriptAdvanced
04

Volatility and Covariance / Covariance Estimation

Oracle Approximating Shrinkage

Trace the finite-dimensional coefficient rather than assuming library equivalence.
6 min Python + TypeScriptAdvanced
05

Volatility and Covariance / Covariance Estimation

Factor-Model Covariance

Change loadings, common-factor risk and specific risk independently.
6 min Python + TypeScriptAdvanced
06

Volatility and Covariance / Covariance Estimation

Graphical-Lasso Covariance

Vary penalty independently from sample count and inspect precision edges.
6 min Python + TypeScriptAdvanced

Territory coverage

What this domain
is mapped to cover.

The published builds above are the released slice of this map. Every subject below belongs to this territory's charter.

Realized volatilityrange estimatorsARCH/GARCH variantsstochastic volatilityshrinkage covariancerobust covariancerealized covariance