A Simple Estimation of Bid-Ask Spreads from Daily Close, High, and Low Prices

I?m looking for a function in R to estimate Bid/Ask Spreads of stocks using Daily candlesticks.

Can anyone suggest some implemetations?

Diego,

I would like to help you, but what you are asking for is simply impossible.

Daily Range, Volume, and Volatility tells you nothing about the intraday numbers except their upper/lower bounds.

It certainly doesn't tell you anything about intraday spreads.

You can certainly *guess* that less liquid instruments have larger effective spreads, since this is usually the case, but you can't know *what* the spread is from daily data.

Brian