{"id":117749,"date":"2012-05-15T18:17:59","date_gmt":"2012-05-15T12:47:59","guid":{"rendered":"http:\/\/stockviz.biz\/index.php\/?page_id=117749"},"modified":"2012-07-01T13:30:44","modified_gmt":"2012-07-01T08:00:44","slug":"yang-zhang-volatility","status":"publish","type":"page","link":"https:\/\/stockviz.biz\/index.php\/yang-zhang-volatility\/","title":{"rendered":"Yang Zhang Volatility"},"content":{"rendered":"<p>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.<\/p>\n<p>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.<\/p>\n<p>Original paper: <a href=\"http:\/\/www.jstor.org\/stable\/10.1086\/209650\">Drift\u2010Independent Volatility Estimation Based on High, Low, Open, and Close Prices<\/a><\/p>\n","protected":false},"excerpt":{"rendered":"<p>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 &hellip; <\/p>\n","protected":false},"author":1,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"sidebar-page.php","meta":{"footnotes":""},"class_list":["post-117749","page","type-page","status-publish","hentry","entry"],"_links":{"self":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/pages\/117749","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/comments?post=117749"}],"version-history":[{"count":0,"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/pages\/117749\/revisions"}],"wp:attachment":[{"href":"https:\/\/stockviz.biz\/index.php\/wp-json\/wp\/v2\/media?parent=117749"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}