RT Journal Article SR Electronic T1 Variance Estimators Using the Parkinson Approach JF The Journal of Alternative Investments FD Institutional Investor Journals SP 69 OP 71 DO 10.3905/jai.2001.319023 VO 4 IS 3 A1 Richard B. Spurgin YR 2001 UL https://pm-research.com/content/4/3/69.abstract AB 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.