Assets / Volatility Estimation
Garman-Klass Volatility (jump-adjusted)
Compute the jump-adjusted Garman-Klass volatility of an asset over a given time period, using open, high, low and close prices.
References
- Colin Bennett, Trading Volatility, Correlation, Term Structure and Skew
- Garman, M. B., and M. J. Klass, 1980, On the Estimation of Security Price Volatilities from Historical Data, Journal of Business 53:67–78
- Yang, D., and Q. Zhang, 2000, Drift-Independent Volatility Estimation Based on High, Low, Open, and Close Prices, Journal of Business 73:477–491
post/assets/volatility/estimation/garman-klass/jump-adjusted
Request
- Base URLhttps://api.portfoliooptimizer.io/v1
- AuthAPI key in header X-API-Key
- TypeScriptA function with typed inputs. Its response is checked against the schema.
Request body
Response
OK
Changes
No recorded changes to this operation across all 23 revisions of this API.