TY - JOUR
T1 - Drift-independent volatility estimation based on high, low, open, and close prices
AU - Yang, Dennis
AU - Zhang, Qiang
PY - 2000/7
Y1 - 2000/7
N2 - We present a new volatility estimator based on multiple periods of high, low, open, and close prices in a historical time series. The new estimator has the following nice properties: it is (a) unbiased in the continuous limit, (b) independent of the drift, (c) consistent in dealing with opening price jumps. Furthermore, it has the smallest variance among all estimators with similar properties. The improvement of accuracy over the classical close-to-close estimator is dramatic for real-life time series.
AB - We present a new volatility estimator based on multiple periods of high, low, open, and close prices in a historical time series. The new estimator has the following nice properties: it is (a) unbiased in the continuous limit, (b) independent of the drift, (c) consistent in dealing with opening price jumps. Furthermore, it has the smallest variance among all estimators with similar properties. The improvement of accuracy over the classical close-to-close estimator is dramatic for real-life time series.
UR - http://www.scopus.com/inward/record.url?scp=0040191850&partnerID=8YFLogxK
UR - https://www.scopus.com/record/pubmetrics.uri?eid=2-s2.0-0040191850&origin=recordpage
U2 - 10.1086/209650
DO - 10.1086/209650
M3 - RGC 21 - Publication in refereed journal
SN - 0021-9398
VL - 73
SP - 477
EP - 492
JO - Journal of Business
JF - Journal of Business
IS - 3
ER -