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Ryan Duguid c6d097b271 [BugFix] openbb-technical: Use open-to-close variance in Yang-Zhang volatility (#7807)
* fix(technical): use open-to-close in Yang-Zhang

The Yang-Zhang estimator combines overnight (close-to-open) variance, open-to-close variance and Rogers-Satchell variance. The close term used close-to-close log returns, which already contain the overnight move, so overnight variance was counted twice and the estimate was inflated by up to sqrt(1 + k). Use log(close / open) as the docstring and the original paper describe.

* test(technical): check Yang-Zhang against a hand-computed window

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Co-authored-by: Ryan Duguid <ryanduguid@users.noreply.github.com>
Co-authored-by: Danglewood <85772166+deeleeramone@users.noreply.github.com>
Co-authored-by: dlee-bq <dlee@brightquery.com>
2026-11-06 15:56:31 -07:00
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