This paper proposes an unbiased combined weighted (CW) volatility measure and weighted volatility indicator (WVI) that integrates the return- and range-based volatility measures to model the dynamics volatility of stock returns. The main feature of the CW measure is that it is formulated based...

Bitcoin (BTC), as the dominant cryptocurrency, has attracted tremendous attention lately due to its excessive volatility. This paper proposes the time-varying transition probability Markov-switching GARCH (TV-MSGARCH) models incorporated BTC logarithmic daily trading volume or Google daily...