Yang Zhang Volatility
Yang Zhang is a historical volatility estimator that handles both opening jumps and the drift and has a minimum estimation error.
We can think of the Yang-Zhang volatility as the combination of the overnight (close-to-open volatility) and a weighted average of the Rogers-Satchell volatility and the day’s open-to-close volatility. It considered being 14 times more efficient than the close-to-close estimator.
Your portfolio is currently empty. You can import symbols, add them manually, or select from an existing portfolio.
Quarterly
Yang-Zhang Volatility Settings
Yang-Zhang Volatility Chart
The chart shows rolling volatility for selected instruments. Values are annualized.
Click Calculate to get resultsYang Zhang Formula
Where:
—
Overnight volatility
—
Open-to-Close volatility
—
Rogers-Satchell volatility
—
Number of days in the sample period
—
Open price on day t
—
High price on day t
—
Low price on day t
—
Close price on day t