Rogers-Satchell Volatility

Compute the Rogers-Satchell volatility of an asset over a time given period, using open, high, low and close prices.

References

• Colin Bennett, Trading Volatility, Correlation, Term Structure and Skew
• Rogers, L., S. Satchell, and Y. Yoon, 1994, Estimating the Volatility of Stock Prices: A Comparison of Methods that Use High and Low Prices, Applied Financial Economics 4:241–247