VOLATILITYESTIMATES—Estimating Volatility from Transactions
Posted: Mon Dec 30, 2024 9:45 am
VOLATILITYESTIMATES.RPF shows various methods of estimating volatility from historical data. This uses the methods from Garman and Klass(1980), "On the Estimation of Security Price Volatilities from Historical Data". Note that these are relatively crude estimates which are designed for treating volatility as an "observable" for further analysis.
Detailed Description
Detailed Description