Yang-Zhang volatility

Hello ,

Where I can find an example in spreadsheet on Yang-Zhang volatility ?



thanks !

 

If you are familiar with VBA, have a look here.
http://excel.itags.org/microsoft-excel/105552/
It may not be perfectly functioning, but the meat is there.

In addition, you may want to pick up "volatility trading," by E. Sinclair,
as it addresses a lot of your questions, and might have the estimator for excel included.

There is also a matlab estimator if you look around a bit.

 

That books comes with a CD that has this in an excel spreadsheet.

David

 

If you can attach only the file of Yang ?

thank you !