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Miha Kralj
2026-03-13 13:47:10 -07:00
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lib/volatility/gkv/Gkv.md
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| **PineScript** | [gkv.pine](gkv.pine) |
- 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).
- **Similar:** [YZV](../yzv/yzv.md), [HV](../hv/hv.md) | **Complementary:** Options pricing | **Trading note:** Garman-Klass; full OHLC, more efficient than close-to-close.
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
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.