Issue #1 is accurate as per the original papers
Issue #2 has been fixed in v119 i.e variance terms are added together
https://r-forge.r-project.org/scm/viewvc.php/pkg/R/volatility.R?view=markuproot=ttrpathrev=119
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On Mon, Dec 26, 2011 at 3:13 PM, algotr8der algotr8...@gmail.com wrote:
1) Garman-Klass volatility as defined by Euan Sinclair in his book
volatility trading on page 23:
http://oneryng.com/library/ViolatilityTrading.pdf
Cl1 - lag(OHLC[, 4])
s - sqrt(N/n * runSum(0.5 *
