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lib/volatility/hlv/Hlv.md
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# HLV: High-Low Volatility (Parkinson)
| Property | Value |
| ---------------- | -------------------------------- |
| **Category** | Volatility |
| **Inputs** | OHLCV bar (TBar) |
| **Parameters** | `period` (default 20), `annualize` (default true), `annualPeriods` (default 252) |
| **Outputs** | Single series (Hlv) |
| **Output range** | $\geq 0$ |
| **Warmup** | `period` bars |
### TL;DR
- *Also known as: PV (Parkinson Volatility)*
- 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.
> "The simplest solution is often the most elegant. When you only need the peaks and valleys, why ask for the whole journey?"
*Also known as: PV (Parkinson Volatility)*
> "The simplest solution is often the most elegant. When you only need the peaks and valleys, why ask for the whole journey?"
High-Low Volatility (HLV), also known as the Parkinson estimator, is a range-based volatility measure that uses only the high and low prices of each period. Developed by Michael Parkinson in 1980, this estimator achieves approximately 5x better efficiency than close-to-close methods by exploiting the information content in the trading range. The implementation includes RMA (Wilder's) smoothing with bias correction and optional annualization.
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- Parkinson, M. (1980). "The Extreme Value Method for Estimating the Variance of the Rate of Return." *Journal of Business*, 53(1), 61-65.
- Garman, M. B., & Klass, M. J. (1980). "On the Estimation of Security Price Volatilities from Historical Data." *Journal of Business*, 53(1), 67-78.
- Rogers, L. C. G., & Satchell, S. E. (1991). "Estimating Variance from High, Low and Closing Prices." *Annals of Applied Probability*, 1(4), 504-512.
- Alizadeh, S., Brandt, M. W., & Diebold, F. X. (2002). "Range-Based Estimation of Stochastic Volatility Models." *Journal of Finance*, 57(3), 1047-1091.
- Alizadeh, S., Brandt, M. W., & Diebold, F. X. (2002). "Range-Based Estimation of Stochastic Volatility Models." *Journal of Finance*, 57(3), 1047-1091.