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Miha Kralj
2026-03-13 13:47:10 -07:00
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lib/volatility/hlv/Hlv.md
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| **PineScript** | [hlv.pine](hlv.pine) |
- *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).
- **Similar:** [GKV](../gkv/gkv.md), [ATR](../atr/atr.md) | **Complementary:** ATR comparison | **Trading note:** Parkinson high-low volatility; ~5x more efficient than close-to-close.
- Validated against TA-Lib, Skender, and Tulip reference implementations where available.
*Also known as: PV (Parkinson Volatility)*
@@ -308,4 +306,4 @@ Note: HLV may underestimate true volatility due to drift bias
- 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.