Yang-Zhang as an Accurate Volatility Estimator
How to Code Yang-Zhang Volatility For Time Series Analysis
The Yang-Zhang volatility estimator is a measure of historical volatility that combines the advantages of both the Rogers-Satchell and Garman-Klass estimators (previously discussed in earlier articles). It is particularly useful for assets with high opening jumps or overnight gaps. This estimator is designed to reduce the bias and error present in simpl…
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