Yang-Zhang Estimator

Yang-Zhang Estimator is the definitive clean build of the Yang-Zhang estimator, the OHLC realized-volatility measure that handles opening gaps and drift at once. Overnight and open-to-close log returns feed two sample variances over the window, a Rogers-Satchell range term supplies the third component, and the three combine under the paper's weight k = 0.34 / (1.34 + (n + 1) / (n - 1)) and annualize into a percentage. The line draws with a gradient fill, a dashed threshold marks your reference level, and a slower comparison estimate can overlay for regime work.

How to Trade the Yang-Zhang Estimator?

• Threshold crosses: the estimate crossing above the Threshold Level marks entry into your defined high-volatility regime; crossing back below marks normalization.
• Expansion / contraction: the primary estimate crossing above the slower comparison estimate signals volatility expanding; crossing below, contracting.
• Component read: the optional component plots show where the volatility lives — on 24/7 markets the overnight term sits near zero.

It is a sizing and regime instrument, not a directional signal.

Yang-Zhang Estimator Settings

• Window Length (default 20): bars n in the estimation window; shorter tracks regime shifts faster but jumps more.
• Bars per Year (default 252): annualization factor, matched to the symbol's clock.
• Show Comparison Window (default off) and Comparison Length (default 60): the second, slower estimate behind the expansion/contraction alerts.
• Show Threshold (default on) and Threshold Level (%) (default 20): the dashed reference line and its level.
• Show Components (default off): plots the annualized overnight, open-to-close and Rogers-Satchell components separately.

Frequently Asked Questions

Why prefer this over the Garman-Klass estimator?

The Garman-Klass estimator ignores overnight gaps and loses accuracy when price drifts across the window. Yang-Zhang prices the gap in through its overnight component and inherits drift-independence from its Rogers-Satchell term, so it stays honest on gap-prone markets and trending windows alike.

How do I set Bars per Year correctly?

Match the symbol's clock: 252 for daily bars where a trading calendar applies, 365 for daily bars on markets that never close. Intraday, use bars per day times days per year (24 x 365 = 8760 for hourly bars on a 24/7 market).

Is 20% the right threshold?

It is a reference to start from, not a magic number — annualized volatility regimes differ enormously across asset classes. Check where your symbol's estimate has historically ranged and place the level where elevated genuinely begins.