I would like to clear a certain doubt about volatility forecasting: Are models like Parkinson, Rogers Satchell and Yang Zhang used for predicting future volatility?

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    $\begingroup$ They model what's happened in the past (using various inputs like OHLC) - if you think this is representative of what's going to happen in the future, then yes, you can call that a forecast. $\endgroup$
    – oronimbus
    Commented Aug 1, 2023 at 19:11
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    $\begingroup$ My impression is that they are currently not used too much. Range based volatility estimators are a bit complicated and were developed before the availability of high frequency data. $\endgroup$
    – fes
    Commented Aug 2, 2023 at 6:35
  • $\begingroup$ All these indicators are backward looking, but the ones based on high frequency (say 5 minute) data are closest to "what is happening now". $\endgroup$
    – nbbo2
    Commented Aug 2, 2023 at 8:35

1 Answer 1


From what I have seen yes. Yang & Zhang showed that their estimator is less biased and less volatile compared to the close-to-close estimator. However, as mentioned, high-frequency data is probably better and is used by many. One good paper on this is the HEAVY-estimator from the Oxford-Man Institute (link here https://scholar.harvard.edu/files/multiHeavy.pdf).


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