Module 9Returns & VolatilityLesson 2 of 824 min
Realized Volatility
Sample std of returns and annualization conventions.
Realized vol
sigma_ann = std(returns) * sqrt(252)
Sample vs population
Sample uses n-1 — default for historical estimation.
Conventions
Equities often 252; some markets use 260/365. Be consistent.
Worked path
prices → log returns → sample std → annualize
Challenge
Compute rolling 3-period realized vol series.
Tips
- 252 equity convention
- n-1 sample
- Clean prices first in prod
Try it live
Realized VolatilityRust 2021
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Output
Press Run to compile and execute.