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hub / github.com/Open-Quant/openquant / rolling_sqrt_mean

Function rolling_sqrt_mean

crates/openquant/src/util/volatility.rs:161–166  ·  view source on GitHub ↗
(values: &[f64], window: usize)

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159/// `NaN` for the first `window - 1` bars; `window == 0` gives all `NaN`. Like Parkinson it
160/// ignores overnight gaps. The name keeps mlfinlab's spelling (`get_garman_class_vol`).
161///
162/// # Errors
163///
164/// [`InputError`] if `high`, `low` or `close` differs in length from `open`.
165///
166/// ```
167/// use openquant::util::volatility::get_garman_class_vol;
168///
169/// let vol = get_garman_class_vol(

Callers 2

get_parksinson_volFunction · 0.85
get_garman_class_volFunction · 0.85

Calls 1

Tested by

no test coverage detected