YANG-ZHANG extension of the GARMAN-KLASS volatility

YANG-ZHANG extension of the GARMAN-KLASS volatility

The Yang Zhang extension of the Garman-Klass volatility is considered to be the second most precise method to evaluate ex-ante volatility. For all the people using Time Series Momentum (TSMOM) or Dual Momentum strategies, this volatility indicator is the main system to size positions.

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05/18/2017

41 posts • 96 Followers
  1. avatar
    motgench • 05/18/2017 #
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kats BONSOIR c bon merci j ai trouve ce weekend merci de votre reponse cdlt
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IV Mcm Myself to illustrate ;)
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DaxRider grazie Robnerto
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juanj
6 years ago
Dynamic ATR
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Dynamic ATR
#ATR #volatility
1
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juanj I have actually completely redesigned this indicator with loads of improvements, so will res...

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