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Range estimators of Historical Volatility
Has anyone got experience with the range estimator of historical volatility from Yang and Zang?I want to use the historical volatility (say 30 days) to compare it with implied volatility. My choices are:"- Clasical HV (log returns of closing prices)- EWMA (I heard JPM/RiskMetric mostly uses)- Parkinson (using only high/low)- Yang Zang's range estimatorOr maybe even using GARCH (1,1)Anyone can make some recommendations?THNX
Range estimators of Historical Volatility
I have the same trouble now, some people say that a trading year i.e. around 250-252 observations others that if you want to look forward let's say three months you have to use the last three months. But it's seems that there is not a thumb rule in the case of HV. If you know what to do or how many days please advice.