Measure Time Series Volatility Using Rogers-Satchell

How to Code Rogers-Satchell Volatility For Time Series Analysis

Rogers-Satchell volatility is a measure of volatility specifically designed for financial time series with an observed open, high, low, and close (OHLC) prices, which makes it particularly useful for asset returns that are not lognormally distributed.

This article presents this volatility measure in detail and shows how to code a rolling calculation on t…