Chapter 8: Financial Feature Engineering
Range-Based Volatility Estimators from OHLC Data intermediate
High and low prices reveal intrabar dispersion that the closing price alone cannot, but each OHLC estimator is only better when its assumptions match the bar structure you actually trade.
High and low prices reveal intrabar dispersion that the closing price alone cannot, but each OHLC estimator is only better when its assumptions match the bar structure you actually trade.
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References
The Extreme Value Method for Estimating the Variance of the Rate of Return
Michael Parkinson
— The Journal of Business
Drift‐Independent Volatility Estimation Based on High, Low, Open, and Close Prices
Dennis Yang, Qiang Zhang
(2000)
— The Journal of Business
On the Estimation of Security Price Volatilities from Historical Data
Mark B. Garman, Michael J. Klass
(1980)
— The Journal of Business