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Could anyone please give the detailed expression of either the close-close or open-close volatility ?

Thanks

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  • $\begingroup$ Googling 'how to calculate close to close volatility' answers the first part of your question (e.g. portfolioslab.com/tools/close-to-close-volatility). For O-C, just calculate the returns using open and close on the same day. Not sure why this merits posting a question... $\endgroup$
    – user42108
    Nov 6, 2020 at 15:06

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Standard deviation method Historical price returns also on close prices

stdev = historical = sqrt[(x- (sum x/n))^2]

close vol

The simplest method for Parkinson's High Close method is enter image description here

The high Low method is statistically more efficient than the standard close method. However it assumes continuous trading and observations of high and Low prices. The method can therefore underestimate the true volativity.

The Garman Klass High Low Close Method, can once again underestimate volatity High Low Close

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  • $\begingroup$ Your first equation seems to be missing a square root, and in general people do not use the mean in estimating vol. $\endgroup$
    – user42108
    Nov 13, 2020 at 13:58
  • $\begingroup$ "In finance it is difficult to distinguish mean returns (drift) from variance and estimates of the mean return are notoriously noisy especially for small samples. So we generally set the mean return to zero." - Euan Sinclair, Volatility Trading. If you want to include the mean, feel free, but it is not standard practice to do so if you're looking at realized vol. $\endgroup$
    – user42108
    Nov 14, 2020 at 20:36
  • $\begingroup$ You are not right. $\endgroup$ Dec 28, 2023 at 8:42

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