---
title: "Yang-Zhang Volatility"
method: POST
path: "/assets/volatility/estimation/yang-zhang"
tags: ["Assets / Volatility Estimation"]
---

# Yang-Zhang Volatility

`POST /assets/volatility/estimation/yang-zhang`

Compute the Yang-Zhang 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](https://www.trading-volatility.com/)
* [Yang, D., and Q. Zhang, 2000, Drift-Independent Volatility Estimation Based on High, Low, Open, and Close Prices, Journal of Business 73:477–491](https://www.jstor.org/stable/10.1086/209650)

## Request body

- object
  - `assets` object[], required
    - `assetPrices` object[], required — assetPrices[t] contains price information for the asset at the date t
      - `date` string, required — The date corresponding to the date t in format YYYY-MM-DD; all dates must be distinct
      - `open` number, required — The open price of the asset at the date t; must be higher than or equal to the low price and lower than or equal to the high price
      - `high` number, required — The high price of the asset at the date t; must be lower than or equal to the high price
      - `low` number, required — The low price of the asset at the date t; must be higher than or equal to the low price
      - `close` number, required — The close price of the asset at the date t; must be higher than or equal to the low price and lower than or equal to the high price

## Response `200`

OK

- object
  - `assets` object[], required
    - `assetVolatility` number, required — The volatility of the asset

---

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