mirror of
https://github.com/OpenBB-finance/OpenBB.git
synced 2026-11-15 21:53:58 +08:00
* 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 --------- 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>