Concept
Garman-Klass–Yang-Zhang Hybrid
Garman-Klass–Yang-Zhang Hybrid is a Volatility concept. The Library holds 2 implementations, each one a working definition you can pull into Quant.
GKYZ
Top Garman-Klass–Yang-Zhang Hybrid indicators
2 total
What is the Garman-Klass–Yang-Zhang Hybrid?
The Garman-Klass–Yang-Zhang hybrid (GKYZ) is the Garman-Klass estimator patched for overnight gaps. Its per-bar variance prepends one term to the classic formula: the squared log return from the prior close to today's open. In full: squared log of open over previous close, plus half the squared log of high over low, minus (two times the natural log of two, minus one) times the squared log of close over open. The added term books the gap risk plain Garman-Klass silently drops, which matters for stocks, session-break futures, and anything that reprices on closed-market news.
GKYZ keeps the zero-drift assumption, so it is not the full Yang-Zhang estimator, which blends overnight variance, open-to-close variance, and the drift-independent Rogers-Satchell estimator under a variance-minimizing weight. GKYZ is the pragmatic middle: gap-aware, cheap to compute bar by bar, and a common volatility engine for bands and adaptive filters, but still biased when the market carries a persistent trend.
How traders use it
- As the default OHLC volatility input for gap-prone instruments: equities and session-based futures where overnight moves carry a large share of total variance.
- As a width term for volatility bands and adaptive smoothing: the estimate responds to both intrabar turbulence and gap shocks, so envelopes widen after either kind of event.
- As a gap-share meter against plain Garman-Klass: the spread between the two isolates how much current volatility arrives overnight rather than within sessions.
GKYZ vs its namesakes
Yang-Zhang Estimator: Yang-Zhang weights overnight, open-to-close, and Rogers-Satchell components to be gap-aware and drift-independent at once. GKYZ simply bolts the overnight term onto Garman-Klass and inherits its zero-drift assumption; the shared name causes frequent mislabeling in charting scripts.
Garman-Klass Estimator: Identical except for the leading term: GKYZ adds the squared close-to-open log return, booking gap variance Garman-Klass ignores. On continuously traded markets where each open equals the prior close, the two readings converge.
Related concepts · Volatility estimators
Concept family
Volatility
56 concepts mapped · 43 in the Library
Garman-Klass–Yang-Zhang Hybrid FAQ
When should I use GKYZ instead of Garman-Klass?
Whenever the instrument can gap between bars: stocks that close overnight, futures with session breaks, anything that reprices on news while closed. GKYZ counts the jump; Garman-Klass does not. On markets that trade around the clock, opens sit at prior closes, the overnight term contributes almost nothing, and the two estimators give near-identical readings.
Is GKYZ the same as the Yang-Zhang estimator?
No, despite the name. Yang-Zhang is a weighted combination of overnight variance, open-to-close variance, and the Rogers-Satchell term, and it remains unbiased under nonzero drift. GKYZ is simply Garman-Klass plus an overnight term: gap-aware but not drift-robust. The two get conflated in indicator scripts, so check the formula before comparing readings across tools.
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