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- rolandograndi
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Yang-Zhang Volatility Measure
Hello everyone,What do you think about the Yang-Zhang Volatility measure? A good thing, IMO, is that it takes into account close to open volatility. Do you think it is better than a Close-to-close classic volatility calculation?Thanks for sharing your toughts!Best regards.
Yang-Zhang Volatility Measure
My thought: "better" requires a precise notion of what the objective is. The problem with a lot of the 'volatility estimator' literature is that'better' seems to be defined by comparing estimators for some obviously wrong model process, like Brownian Motion (BM). Since the real world clearly does not evolve as a BM, surely that is not the objective. So, what is the real objective?
Last edited by Alan on September 23rd, 2014, 10:00 pm, edited 1 time in total.