TY - JOUR T1 - Variance Estimators Using the Parkinson Approach JF - The Journal of Alternative Investments SP - 69 LP - 71 DO - 10.3905/jai.2001.319023 VL - 4 IS - 3 AU - Richard B. Spurgin Y1 - 2001/12/31 UR - https://pm-research.com/content/4/3/69.abstract N2 - Measuring return volatility remains a core issue not only in performance evaluation but also in trading an underlying strategy. For those who desire a relatively straightforward approach, the commonly used Parkinson method (variance estimator based on the mean of observed ranges) provides one such means. This estimator is not widely used, possibly because the estimator is biased, but the degree of bias is explored in the finance literature. It is shown here that the bias inherent in these estimators is a function of the sample size used, and is easily quantified and corrected. ER -