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Comparative statistics of Garman-Klass, Parkinson, Roger-Satchell and bridge estimators

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  • Alexander Saichev
  • Svetlana Lapinova

Abstract

Comparative statistical properties of Parkinson, Garman-Klass, Roger-Satchell and bridge oscillation estimators are discussed. Point and interval estimations, related with mentioned estimators are considered

Suggested Citation

  • Alexander Saichev & Svetlana Lapinova, 2012. "Comparative statistics of Garman-Klass, Parkinson, Roger-Satchell and bridge estimators," Papers 1202.4311, arXiv.org.
    • Handle: RePEc:arx:papers:1202.4311
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    References listed on IDEAS

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    1. Parkinson, Michael, 1980. "The Extreme Value Method for Estimating the Variance of the Rate of Return," The Journal of Business, University of Chicago Press, vol. 53(1), pages 61-65, January.
    2. Garman, Mark B & Klass, Michael J, 1980. "On the Estimation of Security Price Volatilities from Historical Data," The Journal of Business, University of Chicago Press, vol. 53(1), pages 67-78, January.
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