Garman–Klass volatility
A volatility estimate from each day's open, high, low and close.
Formula
σ² = mean over N days of ½ × ln(High ÷ Low)² − (2 ln 2 − 1) × ln(Close ÷ Open)² Volatility = √σ² × √252
How to use it
Uses all four prices of each day for a sharper estimate.
Limitations
Assumes no drift and no overnight gaps.
In Kereon
Investing · price record. Over 20 sessions, annualized.
Also called: garman-klass, garman klass.