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AnnualizedVolatility from pipeline

Not sure this topic has been discussed before.

It seems the historical realized volatility returned from the AnnualizedVolatility built-in pipeline factor is lower than when I calculate it directly from the log returns. Has anybody else noticed this? Perhaps I am doing something wrong.

1 response

Actually not lower... rather different could be higher or lower. For example AAPL for 03Aug2018:

from log returns we calculate a 90 day realized volatility of about 20%. But the realized volatility being returned from the AnnualizedVolatility factor using 90 day window length is 159%