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Measure Time Series Volatility Using Garman-Klass

Measure Time Series Volatility Using Garman-Klass

How to Code Garman-Klass Volatility For Time Series Analysis

Sofien Kaabar, CFA's avatar
Sofien Kaabar, CFA
Jul 17, 2024
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All About Trading!
All About Trading!
Measure Time Series Volatility Using Garman-Klass
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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…

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