I have had trouble with parrying grabs, and have moved away from it against most characters. I think I know why, too. (I'm pretty sure.) The way parrying works is when you're invincible from the parry and the opponent uses the move, you collide with the hitbox, and since you can only get hit once by any given hitbox, when you jump out, even if the enemy's hitbox is still out, you won't get hit by it. Grabs shouldn't 'hit' the invincibility, so when you jump out, you can actually cancel your parry then get hit by the grab you parried.
So I'll compare 2 moves, and how I believe they work with your parry: sheik f-tilt (hitboxes out from frame 5-10) and sheik grab (7-8).
Scenario:Sheik grabs/f-tilts, and you parry so that your parry starts 1 frame before they hit, then you jump out on either frame 2 or 4.
Frame -5: Sheik starts grab
...
Frame -3: Sheik starts f-tilt
...
Frame 0: you start the parry (invincible)
Frame 1: Sheik grab misses because you're invincible/f-tilt hits Yoshi(invincible), and puts sheik in hitlag giving you a frame advantage.
Frame 2: Sheik grab hitbox still out(if you try to jump out here you'll be grabbed)/f-tilt hitbox is still out but can't hit you because you collided with it already
Frame 3: Shiek grab hitbox is gone, safe to jump, still safe to jump against f-tilt
Frame 4-6: Same as 3.
...
Frame 8: Earliest Yoshi can be out of jumpsquat(F-tilt)
Frame 9: Earliest Yoshi can be out of jumpsquat (grab)
...
Frame 12: Latest Yoshi can be out of jumpsquat
...
Frame 23: Sheik out of grab animation
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Frame 27: Sheik IASA frames for F-tilt (after hitlag, with most stale f-tilt)*
Frame 28: Sheik IASA frames for F-tilt (after hitlag, with least stale f-tilt)*
Frame 29: Sheik F-tilt animation ends (after hitlag, with most stale f-tilt)*
Frame 30: Sheik F-tilt animation ends (after hitlag, with least stale f-tilt)*
*(hitlag calculations based on masterhand data + SB's excel spreadsheet)
After all that information, and the fact that Sheik will get a bigger punish if she gets a grab, I don't think you should really try to parry grabs unless you can afford to risk the stock/it is a sure thing.