PT - JOURNAL ARTICLE AU - Richard B. Spurgin TI - Variance Estimators Using the Parkinson Approach AID - 10.3905/jai.2001.319023 DP - 2001 Dec 31 TA - The Journal of Alternative Investments PG - 69--71 VI - 4 IP - 3 4099 - https://pm-research.com/content/4/3/69.short 4100 - https://pm-research.com/content/4/3/69.full 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.