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, so the spread between the lines shows how much volatility arrives overnight, and the dashboard's Overnight Share gives its exact share of window variance.

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?

What does the overnight share tell me?

Is it useful on 24-hour markets?