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Medium · statistical_analysis · Quant Researcher interview question · gkyz_volatility, range_based_volatility, ohlc_estimator, overnight_return, statistical_analysis
The Garman-Klass-Yang-Zhang (GKYZ) volatility estimator combines the efficiency of Garman-Klass range-based estimation with Yang-Zhang overnight return handling, providing a more accurate volatility estimate than close-to-close methods when overnight gaps are significant. Range-based estimators extract more information from OHLC data by using the full intraday price path (via high-low range) rather than just closing prices. Quant researchers use GKYZ for real-time volatility surface calibration,