@railpath/finance-toolkit
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Production-ready finance library for portfolio construction, risk analytics, quantitative metrics, and ML-based regime detection
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TypeScript
/**
* Garman-Klass volatility estimator
* Uses OHLC data, most efficient unbiased estimator
*
* Garman, M. B., & Klass, M. J. (1980). "On the Estimation of Security Price Volatilities
* from Historical Data"
*/
export declare function calculateGarmanKlassVolatility(openPrices: number[], highPrices: number[], lowPrices: number[], closePrices: number[]): number;