Engineering Alpha

Engineering Alpha

Innovative Volatility Measures in Python

How to Code Hodges-Tompkins Volatility For Time Series

Sofien Kaabar, CFA's avatar
Sofien Kaabar, CFA
Jul 10, 2024
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Hodges-Tompkins volatility is an adjusted volatility estimator that aims to correct the bias inherent in the standard volatility estimators, particularly when dealing with small sample sizes.

This article presents this volatility measure in detail and shows how to code a rolling calculation on time series using Python.

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