Garman-Klass–Yang-Zhang Hybrid

Garman-Klass–Yang-Zhang Hybrid extends range-based volatility to the hours the market is closed: each bar's variance adds the squared overnight (close-to-open) jump to the classic high-low-and-body formula, and the window average is annualized into the line. As a build of the Garman-Klass–Yang-Zhang hybrid, its signature is the gap-share read: plain Garman-Klass runs alongside, and the spread between the lines is exactly the variance arriving overnight.

How to Trade the Garman-Klass–Yang-Zhang Hybrid?

• Compression: the rank under the low threshold marks a quiet stretch, where quiet includes calm overnights — the kind that precedes expansion.
• Expansion: the rank crossing over the high threshold confirms broadening movement.
• Overnight Share Rising: the close-to-open term crossing your alert share of variance says gap risk is in charge.
• Line spread: GKYZ jumping while the comparison line stays flat isolates a gap event from session churn.

Garman-Klass–Yang-Zhang Hybrid Settings

• Window Length (default 20): bars averaged; the overnight term adds information per bar, so short windows stabilize quickly.
• Annualize (default enabled) with Bars Per Year (default 252): the comparability scaling — intraday charts must count actual bars per year.
• Garman-Klass Comparison (default enabled): the identical formula minus the overnight term.
• Overnight Share Alert Level % (default 50): the share of window variance above which the gap-risk alert fires; 50 marks more variance arriving closed than open.
• Percentile Lookback (default 100) with High Percentile (80), Low Percentile (20) and Show Percentile Levels (default disabled).
• Show Dashboard (default enabled); colors and Gradient Fill are cosmetic.

Frequently Asked Questions

GKYZ or the full Yang-Zhang estimator?

The Yang-Zhang Estimator combines overnight, open-to-close and Rogers-Satchell terms with drift-optimal weights; GKYZ is the simpler patch — Garman-Klass plus the squared gap. It reconciles cleanly with plain Garman-Klass, while Yang-Zhang is more complete when drift matters.

What does the overnight share tell me?

It is the close-to-open term's share of total window variance. Near zero, the instrument moves almost entirely within sessions; past 50, more of the measured risk arrives while you cannot trade it — grounds for wider overnight stops or smaller positions.

Is it useful on 24-hour markets?

Less so: with no session break the overnight term sits near zero and GKYZ collapses onto plain Garman-Klass. It earns its keep on stocks, session-break futures and anything that reprices on closed-market news.