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.