I am currently working on a time series data and I would like to quantify how volatile it is.
Here volatile I mean how "shaky" the series is.
If the series is smooth than it is not volatile.
I have an idea to solve this problem, but it is kind of inconvenient.
The idea is to first do a regression/smoothing on the series. Then compute the sum of squared error between the smoothed series and the original series.
Any other better idea or and references suggest me to have a look?