Yang–Zhang volatility
A volatility estimate combining overnight, open-to-close and intraday-range moves.
Formula
σ² = σ²(overnight) + k × σ²(open to close) + (1 − k) × σ²(Rogers–Satchell) k = 0.34 ÷ (1.34 + (N + 1) ÷ (N − 1)); Volatility = √σ² × √252
How to read it
The most complete of the range estimators: handles both opening gaps and trends.
How to use it
The most complete range estimator when there are opening gaps.
In Kereon
Investing · price record. Over 20 sessions, annualized.
Also called: yang-zhang, yang zhang.