pricing models postulate a positive relationship between a stock portfolio’s expected returns and risk, which is often … relationship between mean returns on the Nigeria commercial banks portfolio investments and its conditional variance or standard … volatility, while the EGARCH model gives a negative relationship. We suggest that market operators should try as much as possible …

prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …