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Easy · statistical_analysis · Quant Researcher interview question · parkinson, range_volatility, high_low, statistical_analysis, intraday
The Parkinson volatility estimator uses the daily high-low price range to capture intraday price movements, providing a more informative measure than close-to-close returns. This method is particularly useful for constructing volatility surfaces, developing range-based GARCH models, and in risk management systems where high-frequency tick data is not available. Task Implement the function parkinson_volatility(high: list, low: list) to calculate the Parkinson range-based volatility. Example In