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Journal Article

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
Stable URL: http://www.jstor.org/stable/2352358
Page Count: 12
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On the Estimation of Security Price Volatilities from Historical Data
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Abstract

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.

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