I am trying to create Diebold-Yilmaz connectedness table for returns and volatilities. When I do it for returns everything works properly (I can reproduce their work actually) but for volatilities I keep getting different results. From what I understand they use something called range-based volatility measure which can be found in (https://www.sas.upenn.edu/~fdiebold/papers/paper75/DY2final.pdf) and their other papers. According to paper (and others), it is calculated as:


Where symbols represents natural logarithms of: $H_t$ - high price, $L_t$ - low price, $O_t$ - open price, $C_t$ - close price.

Am I missing something? They don’t mention any other formula for volatility. Is there some other way the calculate volatility that was not directly mentioned?


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