I have a very detailed dataset - for each minute I can see 3 best bid and ask prices with associated quantities. Which measure of volatility would you use in such dataset? Some volatility measures use only the close price; Garman-Klass uses Open, low, high and close; but here it is much more detailed.
Here I would like a number which tells me how volatile day it was. I am thinking about simple standard deviation of the mid-price for each day. Are there some better estimates? Sorry if the question is obvious - I am not an expert in finance. Thanks!