stdev
Calculate the rolling standard deviation of a target column within a given window size.
Standard deviation is a measure of the amount of variation or dispersion of a set of values. It is widely used to assess the risk and volatility of financial returns or other time series data over a specified rolling window. It is the square root of the variance.
obb.quantitative.rolling.stdev(data: Union[list, dict, pd.DataFrame, List[pd.DataFrame], pd.Series, List[pd.Series], numpy.ndarray, Data, List[Data]], target: str, window: int = 21, index: str = date)
Parameters
- Standard
| Name | Type | Description | Default | Optional |
|---|---|---|---|---|
| data | None | List[Data] | ||
| The time series data as a list of data points. | None | None | ||
| target | None | str | ||
| The name of the column for which to calculate standard deviation. | None | None | ||
| window | None | PositiveInt | ||
| The number of observations used for calculating the rolling measure. | 21 | True | ||
| index | None | str, optional | ||
| The name of the index column, default is "date". | date | True |
Returns