@krzysztofsztompka/garch
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realizedVariance
Function realizedVariance
realizedVariance
(
returns
:
ArrayLike
<
number
>
,
from
?:
number
,
to
?:
number
)
:
number
Realised-variance proxy: the mean squared return (zero mean over a short horizon).
Parameters
returns
:
ArrayLike
<
number
>
from
:
number
= 0
to
:
number
= ...
Returns
number
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@krzysztofsztompka/garch
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Realised-variance proxy: the mean squared return (zero mean over a short horizon).