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Parkinson Volatility


Parkinson volatility is a volatility measure that uses the stock’s high and low price of the day.

The main difference between regular volatility and Parkinson volatility is that the latter uses high and low prices for a day, rather than only the closing price. That is useful as close to close prices could show little difference while large price movements could have happened during the day. Thus Parkinson's volatility is considered to be more precise and requires less data for calculation than the close-close volatility.

One drawback of this estimator is that it doesn't take into account price movements after market close. Hence it systematically undervalues volatility. That drawback is taken into account in the Garman-Klass's volatility estimator.

Parkinson Volatility Formula


Parkinson Volatility Formula
Where:
Number of days in the sample period

 — Number of days in the sample period

High price on day t

 — High price on day t

Low price on day t

 — Low price on day t

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Parkinson Volatility Settings


Rolling Parkinson Volatility Chart


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