Comments (1)
danendral
commented on September 27, 2024
Have you tried using VolatilityShiftAD?
It compares the volatility (e.g. standard deviation) between two rolling windows. You can also set if you want to detect positive or negative value change in the selected aggregation method.
In your case, you may set side = "negative" as you want to see the huge drop in volatility (right window volatility will be zero when there are constant values)
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