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Easy · time_series · Quant Researcher interview question · volatility, ohlc, time-series, garman-klass, risk-management
The Garman-Klass (1980) estimator is a method for estimating asset volatility using Open, High, Low, and Close (OHLC) prices. It provides a more efficient measure than simple close-to-close estimators by incorporating the intraday price range. Quantitative analysts use this estimator for risk management, position sizing, and building daily volatility surfaces. Task Implement the function solution(bars, trading_days) to calculate the annualised Garman-Klass volatility. The function accepts a lis