Garman-Klass Volatility (jump-adjusted)

Compute the jump-adjusted Garman-Klass volatility of an asset over a given time period, using open, high, low and close prices.

References

• Colin Bennett, Trading Volatility, Correlation, Term Structure and Skew
• Garman, M. B., and M. J. Klass, 1980, On the Estimation of Security Price Volatilities from Historical Data, Journal of Business 53:67–78
• Yang, D., and Q. Zhang, 2000, Drift-Independent Volatility Estimation Based on High, Low, Open, and Close Prices, Journal of Business 73:477–491