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lib/volatility/gkv/Gkv.md
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# GKV: Garman-Klass Volatility
| Property | Value |
| ---------------- | -------------------------------- |
| **Category** | Volatility |
| **Inputs** | OHLCV bar (TBar) |
| **Parameters** | `period` (default 20), `annualize` (default true), `annualPeriods` (default 252) |
| **Outputs** | Single series (Gkv) |
| **Output range** | $\geq 0$ |
| **Warmup** | `period` bars |
### TL;DR
- Garman-Klass Volatility (GKV) is a range-based volatility estimator that uses all four OHLC prices to provide more efficient volatility estimates t...
- Parameterized by `period` (default 20), `annualize` (default true), `annualperiods` (default 252).
- Output range: $\geq 0$.
- Requires `period` bars of warmup before first valid output (IsHot = true).
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
> "Why settle for closing prices when you have the full trading range? It's like judging a book by its last page."
Garman-Klass Volatility (GKV) is a range-based volatility estimator that uses all four OHLC prices to provide more efficient volatility estimates than traditional close-to-close methods. Developed by Mark Garman and Michael Klass in 1980, this estimator achieves theoretical efficiency gains of 7-8x over simple close-to-close variance by incorporating intraday price information. The implementation includes RMA (Wilder's) smoothing with bias correction and optional annualization.
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- Garman, M. B., & Klass, M. J. (1980). "On the Estimation of Security Price Volatilities from Historical Data." *Journal of Business*, 53(1), 67-78.
- Parkinson, M. (1980). "The Extreme Value Method for Estimating the Variance of the Rate of Return." *Journal of Business*, 53(1), 61-65.
- Rogers, L. C. G., & Satchell, S. E. (1991). "Estimating Variance from High, Low and Closing Prices." *Annals of Applied Probability*, 1(4), 504-512.
- Yang, D., & Zhang, Q. (2000). "Drift-Independent Volatility Estimation Based on High, Low, Open, and Close Prices." *Journal of Business*, 73(3), 477-491.
- Yang, D., & Zhang, Q. (2000). "Drift-Independent Volatility Estimation Based on High, Low, Open, and Close Prices." *Journal of Business*, 73(3), 477-491.