Skip to main content

Volatility estimation in python.

Project description

The pyvol project is framework for testing volatility forecasting ideas in financial (or other) time series.

Pyvol provides an easy way for researchers to share and compare volatility estimation approaches. A researcher can subclass the CovEstimator class in pyvolest.est.CovEst and use pyvol to evaluate performance and compare to other estimators.

The pyvol project is also designed to serve as the framework for a number of contests and class projects. Teachers or contest sponsors can create a custom pyvol distribution focused on the types of models and ideas they are interested in, have contestants create estimators, submit them, and evaluate performance in an automated way.

For details and software, see http://code.google.com/p/pyvol.

Project details


Release history Release notifications | RSS feed

This version

1.0

Download files

Download the file for your platform. If you're not sure which to choose, learn more about installing packages.

Files for pyvol, version 1.0
Filename, size File type Python version Upload date Hashes
Filename, size pyvol-1.0.zip (47.6 kB) File type Source Python version None Upload date Hashes View

Supported by

AWS AWS Cloud computing Datadog Datadog Monitoring DigiCert DigiCert EV certificate Facebook / Instagram Facebook / Instagram PSF Sponsor Fastly Fastly CDN Google Google Object Storage and Download Analytics Pingdom Pingdom Monitoring Salesforce Salesforce PSF Sponsor Sentry Sentry Error logging StatusPage StatusPage Status page