Comparing OHLC-Based and Return-Based Volatility Estimators

Summary

This indicator collects several rolling volatility estimators built from price bars. The visible functions include Parkinson, Garman–Klass, Rogers–Satchell–Yoon, Yang–Zhang, and historical volatility; the code also contains modified variants and an annualized historical measure. These methods use different combinations of high, low, open, close, and prior close data, allowing users to view multiple estimates over the same chart and adjust the lookback period.

Inputs control which series are plotted and whether sample calculations use biased or unbiased divisors; the Yang–Zhang family also exposes an alpha parameter, and annualized historical volatility accepts a days-per-year setting. The indicator provides calculations rather than a trading rule, signal evaluation, or empirical comparison. The supplied document is truncated, so the complete set of estimators and their interface details cannot be confirmed. Users should also check assumptions, annualization conventions, and implementation behavior before comparing values across markets or timeframes.

Key ideas

• Range-based estimators use intrabar high-low information to estimate volatility beyond close-to-close returns.
• Garman–Klass and Rogers–Satchell–Yoon calculations combine the candle range with open-close behavior.
• Yang–Zhang estimates combine overnight, close-to-open, and Rogers–Satchell components.
• Historical volatility is calculated from the dispersion of logarithmic close-to-close returns.
• The indicator offers selectable plots and biased or unbiased variance divisors, but reports no predictive or trading results.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.