Yang-Zhang Volatility Estimator
Paste daily open, high, low, close bars (one per line, as open,high,low,close, oldest
first) to get the Yang-Zhang volatility estimate. It combines overnight (close-to-open) volatility,
open-to-close volatility, and the Rogers-Satchell estimator into a single measure that handles both
opening jumps and drift, considered one of the most efficient range-based estimators. Free to use, no
signup required.
Use at least 10-20 consecutive daily bars for a stable estimate. Oldest bar first.
Educational tool only, not financial advice. This estimator assumes consecutive trading bars with no missing days between the close and next open used for the overnight component. Always confirm with your own strategy and risk management rules.
Built by Jason Parker, founder of Trading Ranges.
Built by Jason Parker, founder of Trading Ranges.