Measure Time Series Volatility Using Garman-Klass

How to Code Garman-Klass Volatility For Time Series Analysis

Garman-Klass volatility estimator is a method used to estimate the volatility of financial assets using high, low, opening, and closing prices. This approach is designed to provide a more accurate estimate of volatility compared to traditional methods that only use closing prices.

This article presents this volatility measure in detail and shows how to c…