OHLC Realized Volatility Estimators
OHLC Realized Volatility Estimators: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). Compute and compare multiple realized volatility estimators using OHLCV data. Range-based estimators (Parkinson, Garman-Klass, Rogers-Satchell, Yang-Zhang) exploit intraday…
The task
Compute and compare multiple realized volatility estimators using OHLCV data. Range-based estimators (Parkinson, Garman-Klass, Rogers-Satchell, Yang-Zhang) exploit intraday high-low information to achieve lower variance than the classical close-to-close estimator, making them fundamental tools in empirical finance…
Part of codeslord/skilltrainbench-public.