Michael Parkinson

In 1980 Michael Parkinson estimated volatility from each day’s high and low instead of its close: σ̂² = (ln(H/L))² / (4 ln 2).

For a price that moves like a random walk, the range is about five times as efficient as close-to-close returns. Garman–Klass, Rogers–Satchell and Yang–Zhang later added the open and close to handle gaps and trends.