Equation: Historical Open-High-Low-Close Volatility: Rogers Satchell

Historical Open-High-Low-Close Volatility: Rogers Satchell

created by:

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

The Roger and Satchell historical volatility estimator allows for non-zero drift, but assumed no opening jump.

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

Related Equations
Historical Close-to-Close Volatility »
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Historical Open-High-Low-Close Volatility: Yang Zhang »
Main Equations Index »

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