Historical Risk Analysis Core Concepts Close-to-Close Volatility The simplest and most common volatility estimator. Compute the standard deviation of log returns and annualize. where N = number of trading periods per year (typically 252 for daily, 52 for weekly, 12 for monthly). Log returns are preferred: r t = ln(P t / P {t-1}). Parkinson (High-Low) Estimator Uses intraday high and low prices to capture intraday volatility that close-to-close misses. More efficient than close-to-close when the true process is continuous. This estimator is roughly 5x more efficient than close-to-close for a d…