get https://api.amberdata.com/markets/derivatives/analytics/realized-volatility/correlation-beta
This endpoint returns the entire series of closing prices for two selected currency pairs from a given exchange. In addition to the series of closing prices the endpoint also returns the various realized volatility measures (using the high/low Parkinson method), rolling correlation calculation and beta. Beta is a measure of the second pair, in terms of the first pair.
RESPONSE DATA
| Field | Type | Description |
|---|---|---|
| payload.metadata.api-version | string | Version of the API. |
| payload.data[index].timestamp | timestamp | The observation timestamp. |
| payload.data[index].pairOne | string | The symbol of the first pair parameter. |
| payload.data[index].closeOne | number | This is the closing price of the first pair parameter. |
| payload.data[index].returnOne | number | The close to close log normal return of the first pair parameter. |
| payload.data[index].realizedVolatility30One | number | This is the 30-day Parkinson realized volatility for the first pair parameter. |
| payload.data[index].realizedVolatility90One | number | This is the 90-day Parkinson realized volatility for the first pair parameter. |
| payload.data[index].realizedVolatility180One | number | This is the 180-day Parkinson realized volatility for the first pair parameter. |
| payload.data[index].pairTwo | number | The symbol of the second pair parameter. |
| payload.data[index].closeTwo | number | This is the closing price of the second pair parameter. |
| payload.data[index].returnTwo | number | The close to close log normal return of the second pair parameter. |
| payload.data[index].realizedVolatility30Two | number | This is the 30-day Parkinson realized volatility for the second pair parameter. |
| payload.data[index].realizedVolatility90Two | number | This is the 90-day Parkinson realized volatility for the second pair parameter. |
| payload.data[index].realizedVolatility180Two | number | This is the 180-day Parkinson realized volatility for the second pair parameter. |
| payload.data[index].correlation30 | number | This is the 30-day rolling correlation between the first pair and second pair. |
| payload.data[index].correlation90 | number | This is the 90-day rolling correlation between the first pair and second pair. |
| payload.data[index].correlation180 | number | This is the 180-day rolling correlation between the first pair and second pair. |
| payload.data[index].beta30 | number | This is the 30-day rolling beta between the first pair and second pair, in units of the first pair. |
| payload.data[index].beta90 | number | This is the 90-day rolling beta between the first pair and second pair, in units of the first pair. |
| payload.data[index].beta180 | number | This is the 180-day rolling beta between the first pair and second pair, in units of the first pair. |