Parkinson volatility
A volatility estimate from each day's high and low rather than its close.
Formula
σ² = mean over N days of ln(High ÷ Low)² ÷ (4 ln 2) Volatility = √σ² × √252
How to read it
Uses more of each day's information than close-to-close, but misses overnight gaps.
How to use it
A more efficient estimate than close-to-close from the same number of days.
In Kereon
Investing · price record. Over 20 sessions, annualized.
Also called: parkinson, parkinson 20.