Yang and Zhang were the first to derive an historical volatility estimator that has a minimum estimation error, is independent of the drift, and independent of opening gaps. This estimator is maximally 14 times more efficient than the close-to-close estimator.
Yang and Zhang derived an extension to the Garman Glass historical volatility estimator that allows for opening jumps. It assumes Brownian motion with zero drift.
Original paper: DriftâIndependent Volatility Estimation Based on High, Low, Open, and Close Prices