Calculating the First and Second Moments (Mu and Variance) in Python

Calculating the First and Second Moments (Mu and Variance) in Python | Finance Train

We will use functions from numpy package to calculate the mean and variance of daily returns. Variance as we know, is the square of standard deviation (Volatility).

1# Calculate Mean and Standard Deviation
2
3import numpy as np
4
5# Daily returns
6daily_returns = stock_data['Simple Returns']
7
8# Calculate statistics
9mean_daily_returns     = np.mean(daily_returns)
10std_dev_daily_returns  = np.std(daily_returns)
11variance_daily_returns = np.var(daily_returns)
12

python

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Calculating the First and Second Moments (Mu and Variance) in Python