Yang-Zhang Volatility

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