Garman-Klass-Yang-Zhang Historical Volatility Bands are constructed using:
Average as the middle line.
Upper and lower bands using the Garman-Klass-Yang-Zhang Historical Volatility Bands for bands calculation.
What is Garman-Klass-Yang-Zhang Historical Volatility?
Yang and Zhang derived an extension to the Garman Klass historical volatility estimator...
Inspired by the Brownian Motion ("BM") model that could be applied to conducting Monte Carlo Simulations, this indicator plots out the Drift factor contributing to BM.
Interpretation : If the Drift value is positive, then prices are possibly moving in an uptrend. Vice versa for negative drifts.
This is an aproximation on Tradingview of the Hurst Exponent.
Its quite computational expensive, so it has been simplify and sample size reduced.
If any has an idea on how to create the real Hurst Exponent here, Ill be happy to hear and help.
![USDCHF: Garman-Klass-Yang-Zhang Historical Volatility Bands [Loxx]](https://s3.tradingview.com/7/769aHr2F_mid.png "Garman-Klass-Yang-Zhang Historical Volatility Bands [Loxx]")
![TSLA: Drift Study (Inspired by Monte Carlo Simulations with BM) [KL]](https://s3.tradingview.com/a/aDymGrFx_mid.png "Drift Study (Inspired by Monte Carlo Simulations with BM) [KL]")
