Garman-Klass-Yang-Zhang Historical Volatility Bands [Loxx]

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Garman-Klass-Yang-Zhang Historical Volatility Bands are constructed using:

  • Average as the middle line.
  • Upper and lower bands using the Garman-Klass-Yang-Zhang Historical Volatility Bands for bands calculation.

What is Garman-Klass-Yang-Zhang Historical Volatility?
Yang and Zhang derived an extension to the Garman Klass historical volatility estimator that allows for opening jumps. It assumes Brownian motion with zero drift. This is currently the preferred version of open-high-low-close volatility estimator for zero drift and has an efficiency of 8 times the classic close-to-close estimator. Note that when the drift is nonzero, but instead relative large to the volatility, this estimator will tend to overestimate the volatility. The Garman-Klass-Yang-Zhang Historical Volatility calculation is as follows:

GKYZHV = sqrt((Z/n) * sum((log(open(k)/close(k-1)))^2 + (0.5*(log(high(k)/low(k)))^2) - (2*log(2) - 1)*(log(close(k)/open(2:end)))^2))

The color of the middle line, unlike the bands colors, has 3 colors. When colors of the bands are the same, then the middle line has the same color, otherwise it's white.

  • Alerts
  • Signals
  • Loxx's Expanded Source Types
  • Bar coloring

Related Indicators
Garman & Klass Estimator Historical Volatility Bands
Garman-Klass-Yang-Zhang Historical Volatility isn't meant for intraday time frames, but you can use this for intraday now. You'll have to adjust the multiplier value to accommodate the asset. Forex will generally require a number of 10, other tickers a value of 100. Low sat coins a value less than 1 but greater than 0.
Updated to handle all timeframes and all tickers. gkyzvol() returns the pre-annualized percent volatility value to be injected into the bands calculation. enjoy!

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