In this study, we use the 'heterogeneous autoregressive' (HAR) model and replace all squared returns with a squared range to estimate realized range-based volatility (RRV) forecasts for oil futures prices. Our findings demonstrate that the HAR-RRV models, involving volatility measures with a...

We obtain intraday data on three stock indices listed on the Taiwan Stock Exchange (TWSE), and then analyse the data by incorporating an overnight returns indicator into the ‘Heterogeneous Auto-Regressive’ (HAR) model of realized volatility. Our overall aim is to enhance the forecasting of...

In this study, we obtain intraday data on the Taiwan Stock Exchange Capitalization Weighted Stock Index and apply the range-based estimation method to measure intraday high-low prices, whilst also incorporating the variable of net trading volume of institutional investors into the heterogeneous...