The Rogers-Satchell function is a volatility estimator that outperforms other estimators when the underlying follows a geometric Brownian motion (GBM) with a drift (historical data mean returns different from zero).
As a result, it provides a better volatility estimation when the underlying is trending.
However, this Rogers-Satchell estimator does not account for jumps in price (Gaps). It assumes no opening jump.
The function uses the open, close, high, and low price series in its calculation and it has only one parameter, which is the period to use to estimate the volatility.
