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OHLC volatility (Part 1) - Parkinson and Garman Klass (Excel)
Автор: NEDL
Загружено: 2020-05-19
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Is the standard deviation of close-on-close stock return the best measure of volatility? Some might argue it is not as it misses important information contained in opening, high, and low prices and disregards the risk of intraday trading. Today, we are discussing and calculating some of the easiest measures of OHLC volatility, namely, Parkinson and Garman and Klass estimators that has been developed in the 1980s.
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