Range Volatility Calculator Excel Template
Range Volatility Calculator Excel Template
Interactive Excel Financial Model
Download, customize, and integrate into your own analysis
What's Included
- Interactive financial model with live Excel formulas
- All formulas visible and fully editable
- Professional formatting with color-coded inputs & outputs
- Formula reference sheet with variable definitions
- Step-by-step instructions sheet
- Compatible with Microsoft Excel 2016 and later
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Price range: $0.00 through $20.00
Range Volatility Calculator Excel template — Parkinson, Garman-Klass, and Rogers-Satchell estimators from OHLC data with live formulas.
Online Calculator vs Excel Template
| Feature | Online | Excel |
|---|---|---|
| Instant use — no download | ✓ | — |
| Works offline | — | ✓ |
| Customize formulas & layout | — | ✓ |
| Save & share with colleagues | — | ✓ |
| Integrate into your own models | — | ✓ |
| Print-ready formatting | — | ✓ |
About This Template
Estimate volatility more efficiently with this Range Volatility Calculator Excel template. Traditional close-to-close volatility uses only two price points per day, missing valuable intraday information. This template implements three range-based estimators that extract significantly more signal from OHLC (Open, High, Low, Close) data, giving you better volatility estimates with fewer observations.
What You Can Calculate
Enter a single set of OHLC prices and instantly compare three industry-standard volatility estimators:
- Parkinson Volatility — Uses only High and Low prices. Approximately 5x more statistically efficient than close-to-close volatility, making it ideal when only range data is available.
- Garman-Klass Volatility — Incorporates all four OHLC prices for approximately 7.4x efficiency. The most efficient estimator under a no-drift assumption.
- Rogers-Satchell Volatility — A drift-adjusted estimator that produces less biased results in trending markets, making it suitable for assets with strong directional moves.
Each estimator provides both daily and annualized volatility, organized into clearly labeled output groups.
Required Inputs
You need five values to run the calculator:
- Open Price (O) — Opening price of the trading session
- High Price (H) — Highest price during the session
- Low Price (L) — Lowest price during the session
- Close Price (C) — Closing price of the session
- Trading Days/Year — For annualization (default: 252 for US equities)
Methodology
The template uses published academic estimators. Parkinson (1980) estimates variance as (ln(H/L))^2 / (4 ln 2). Garman-Klass (1980) refines this by incorporating open-close information. Rogers-Satchell (1991) adds drift independence. All formulas use natural logarithms and annualize via the square-root-of-time rule.
Assumptions & Limitations
- Single-day OHLC observation — multi-day averaging yields more robust estimates
- Range estimators do not capture overnight gaps
- Assumes log-normal returns (geometric Brownian motion)
- Parkinson and Garman-Klass assume zero drift; Rogers-Satchell is drift-adjusted
Frequently Asked Questions
The template calculates Parkinson, Garman-Klass, and Rogers-Satchell volatility estimators simultaneously from a single set of OHLC inputs. Each estimator appears in its own output group with both daily and annualized values, making it easy to compare efficiency and drift assumptions across methods.
Yes. The template uses standard Excel formulas that you can adapt. Right-click the Calculator sheet tab, select Unprotect Sheet, then copy the formula rows for additional trading days and average the variance estimates across observations for a more robust volatility measure.
Each estimator uses transparent Excel formulas with LN() for natural logarithm, SQRT() for square root, and MAX() to ensure non-negative variance. You can click any green output cell to see the exact formula. Daily volatility is the square root of the variance estimate, and annualized volatility multiplies daily vol by the square root of trading days.
A fully interactive financial model with live Excel formulas, an Instructions sheet with usage guide, and a Formula Reference sheet with variable definitions and model assumptions. All formulas are visible and editable.
Microsoft Excel 2016 or later. The template uses standard Excel formulas only — no macros, VBA, or add-ins required.
Yes. All cells are fully editable. You can modify any formula, add your own calculations, change formatting, or integrate the model into your existing spreadsheets.
The online calculator runs in your browser for quick calculations. This Excel template gives you a portable, offline financial model you can customize, save, share with colleagues, and integrate into your own analysis.
This template is provided for educational and personal use. You may use it in your own professional analysis and presentations. Redistribution or resale of the template itself is not permitted.
You can re-download the latest version from your account or by requesting a new download link. Free downloads are limited to 5 per email address per month.
