For our seminar, we were to to try out some factors, starting with one single factor, with the Alphalens tool and hopefully find relationships. I ran into in problems right at the beginning. I wanted to look at different types of volatility returns - intraday overnight and daily - dependent on what kinds of returns I am looking at, but I coundn't even get the implementation of the volatility working. It works for daily returns, but not for intraday and overnight. Can someone help me to define it correctly?
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