Historical Open-High-Low-Close Volatility: Garman Klass
created by:
Thijs van den Berg
(http://www.sitmo.com)
The Garman and Klass estimator for estimating historical volatility assumes Brownian motion with zero drift and no opening jumps (i.e. the opening = close of the previous period). This estimator is 7.4 times more efficient than the close-to-close estimator.
List of symbols
Volatility
Z
Number of closing prices in a year
n
Number of historical prices used for the volatility estimate
