more volatilty

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Miha Kralj
2026-02-02 13:42:47 -08:00
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# HLV: High-Low Volatility (Parkinson)
*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.