Equation: Historical High-Low Volatility: Parkinson

Historical High-Low Volatility: Parkinson

created by:

Thijs van den Berg (http://www.sitmo.com)

The Parkinson formula for estimating the historical volatility of an underlying based on high and low prices.

	Volatility
Z	Number of closing prices in a year
n	Number of historical prices used in the volatility estimate
	The high
	The low

Related Equations
Historical Close-to-Close Volatility »
Historical Open-High-Low-Close Volatility: Garman and Klass (Yang Zhang) »
Historical Open-High-Low-Close Volatility: Garman Klass »
Historical Open-High-Low-Close Volatility: Rogers Satchell »
Historical Open-High-Low-Close Volatility: Yang Zhang »
Main Equations Index »

All text and equations on this page are freely available under the terms of the GNU Free Documentation License


Word	Pdf	LaTeX

equation image:
.gif image