This API calculates the abnormal volatilities following the scientific method ‘event study methodology’

Calling this API will perform a volatility event study for a certain date, stock, and reference market. You can further specify all parameters of the event and estimation windows. Volatility event studies quantify the impact events have on the price volatility of stocks, which is reflected in the differences between the actual trading volatility and the predicted trading volatility that would have occurred if the event had not taken place.