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Rogers-Satchell Volatility


Rogers-Satchell is an estimator for measuring the volatility of securities with an average return not equal to zero.

Unlike Parkinson and Garman-Klass estimators, Rogers-Satchell incorporates drift term (mean return not equal to zero). As a result, it provides a better volatility estimation when the underlying is trending.

The main disadvantage of this method is that it does not take into account price movements between trading sessions. It means an underestimation of volatility since price jumps periodically occur in the market precisely at the moments between sessions.

A more comprehensive estimator that also considers the gaps between sessions was developed based on the Rogers-Satchel formula in the 2000s by Yang-Zhang. See Yang Zhang Volatility for more detail.

Rogers-Satchell Volatility formula


Rogers-Satchell Volatility formula
Where:
Number of days in the sample period

 — Number of days in the sample period

Open price on day t

 — Open price on day t

High price on day t

 — High price on day t

Low price on day t

 — Low price on day t

Close price on day t

 — Close price on day t

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Rogers-Satchell Volatility Settings


Rolling Rogers-Satchell Volatility Chart


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