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Garman-Klass volatility estimator for Amibroker (AFL)
over 9 years ago
Amibroker (AFL)

5 / 5 (Votes 1)
amibroker, exploration

Exploration outputs Garman-Klass volatility

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Indicator / Formula

Copy & Paste Friendly
period = Param("lookback period",30,5,300,1);

GKvol = sqrt(252/period*(0.5 * (ln(H/L))^2 - (2*ln(2)-1) * (ln(O/C))^2 ));

AddColumn(GKvol,"GKvol", 1.0, colorDefault, colorDefault,45);


1. JaNa

Seems sum function is missing

Change GKvol with this one:
GKvol = sqrt(252/period * Sum((0.5 * (ln(H/L))^2 – (2*ln(2)-1) * (ln(O/C))^2 ), period));

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