ARCH and stochastic volatility models. We consider two major dollar exchange rates, and we show that returns standardized …

estimation of stochastic volatility models. We show both theoretically and empirically that the log range is approximately …We propose using the price range, a recently-neglected volatility proxy with a long histoy in finance, in the … Gaussian, in sharp contrast to popular volatility proxies, such as log absolute or squared returns. Hence Gaussian quasi …

forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility … variation, we formally develop the links between the conditional covariancematrix and the concept of realized volatility. Next …

forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting … ARCH or stochastic volatility models, which often perform poorly at intraday frequencies. Use of realized volatility … variation, we formally develop the links between the conditional covariancematrix and the concept of realized volatility. Next …