Parkinson, Michael, "The Extreme Value Method for Estimating the Variance of the Rate of Return", Journal of Business, Vol. 53, No. 1, (January 1980), pp. 61-65.

Abstract: If S is the price of a common stock, it is now generally accepted that ln(S) follows a random walk, at least to a very good approximation. The diffusion constant characterizing that walk, which is the same as the variance of the rate of return, thus becomes an important quantity to calculate and is traditionally estimated using closing prices only. It is shown that the use of extreme values (the high and low prices) provides a far superior estimate.