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Garman Klass Volatility

alexgrover Wizard  
Volatility garmanklass
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volatility garmanklass
The Garman and Klass estimator for estimating historical volatility assumes Brownian motion with zero drift and no opening jumps (i.e. the opening = close of the previous period). This estimator is 7.4 times more efficient than the close-to-close estimator.
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