Garman-Klass-Yang-Zhang Historical Volatility Bands [Loxx]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.
Included
Alerts
Signals
Loxx's Expanded Source Types
Bar coloring
Related Indicators
Garman & Klass Estimator Historical Volatility Bands
Brownian
Drift Study (Inspired by Monte Carlo Simulations with BM) [KL]Inspired by the Brownian Motion ("BM") model that could be applied to conducting Monte Carlo Simulations, this indicator plots out the Drift factor contributing to BM.
Interpretation : If the Drift value is positive, then prices are possibly moving in an uptrend. Vice versa for negative drifts.
Hurst ExponentThis is an aproximation on Tradingview of the Hurst Exponent.
Its quite computational expensive, so it has been simplify and sample size reduced.
If any has an idea on how to create the real Hurst Exponent here, Ill be happy to hear and help.
