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.
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Yang-Zhang Volatility Settings
Yang-Zhang Volatility Chart
The chart shows rolling volatility for selected instruments. Values are annualized.
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Yang 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