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Easy · statistical_analysis · Quant Researcher interview question · yang_zhang, ohlc_volatility, rogers_satchell, range_volatility, statistical_analysis
The Yang-Zhang (2000) estimator is a minimum-variance, unbiased method for calculating asset volatility from Open, High, Low, and Close (OHLC) data. It improves upon other range-based estimators by correcting for both overnight price gaps and intraday drift. This makes it a standard tool on volatility trading desks and in advanced GARCH models where only daily data is available. Task Implement the function yang_zhang_volatility(open_p: list, high: list, low: list, close: list) -> float to calcu