Rogers-Satchell Volatility (jump-adjusted)

Compute the jump-adjusted 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
• Yang, D., and Q. Zhang, 2000, Drift-Independent Volatility Estimation Based on High, Low, Open, and Close Prices, Journal of Business 73:477–491