Parkinson Historical Volatility Calculation – Volatility Analysis in Python
Posted on May 31, 2020
In the previous post, we discussed the close-to-close historical volatility. Recall that the close-to-close historical volatility (CCHV) is calculated as follows, where xi are the logarithmic returns calculated based on closing prices, and N is the sample size. A disadvantage of using the CCHV is that it does not take …