Comments (1)
It might be a problem with the data. I was testing my own implementation of the GK estimator on a futures dataset including the EuroBond, and I got nan results because the H / L term was smaller than the C / C term, resulting in negative values which were nan when passed through the square root. The issue also came up in the NK, Z, and G contracts. If you look at the formula, there is nothing stopping it from breaking if the H / L spread is small enough.
Implement the formula yourself and test to see if this is the problem.
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