Forecasting the Technical Range Volatility with Moving Average (TRV-MA) Modle

When trading, investors make decisions based on not only the security and market variances but also the technical price range. However, academic literature investigating its properties is scarce. Better understandings of this risk measurement candidate are supposed to provide guidance for investors. In this paper, the statistical properties and dynamic structures of technical price range are investigated broadly with different index data, and some interesting facts are discovered: 1) the technical range volatility follows the normal distribution approximately; 2) the dynamic structure of the technical range volatility can be well described by a moving average model.To test whether the TRV-MA model could well capture the dynamic structure of the technical price range volatility, empirical studies are performed on CAC40, DAX, FTSE, HS, NIKKEI225, S&P500, and STI. To evaluate the predicting ability of the TRV-MA model, a new criteria is proposed. Based on this new criteria, the TRV-MA model does provide sharp prediction. Interesting problems based on the technical range volatility are suggested in the conclusion, better understandings of these problems are supposed to provide better understandings of the market micro-structures.According to our knowledge, this paper is the first one to investigate the statistical properties and the dynamics of technical range volatility