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Medium · risk_management · Quant Researcher interview question · garman_klass, ohlc_volatility, risk_management, volatility_estimation
The Garman-Klass (GK) volatility estimator improves upon simple close-to-close measures by incorporating intraday high and low prices. This increased statistical efficiency makes it a preferred method for daily volatility estimation in intraday risk management and algorithmic execution. The estimator is designed to be an unbiased measure of volatility for an asset assumed to follow a geometric Brownian motion process. Task Implement the function garman_klass_volatility(ohlc: list, periods_per_y