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On the Estimation of Security Price Volatilities from Historical Data
Mark B. Garman and Michael J. Klass
The Journal of Business
Vol. 53, No. 1 (Jan., 1980), pp. 67-78
Published by: The University of Chicago Press
Stable URL: http://www.jstor.org/stable/2352358
Page Count: 12
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Improved estimators of security price volatilities are formulated. These estimators employ data of the type commonly found in the financial pages of a newspaper: the high, low, opening, and closing prices and the transaction volume. The new estimators are seen to have relative efficiencies that are considerably higher than the standard estimators.
The Journal of Business © 1980 The University of Chicago Press