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 … a vector error-correction model of daily highs and lows. Contrary to intuition, models based on co-integration of daily …

is the constant in the variance process of the innovations that is subject to regime shifts. The joint estimation of the …

for exogenous shock to market data. After the data fitting and VaR estimation, we conclude that the range-based volatility … regime switching into volatility process can boost the efficiency for VaR estimation. We also present an empirical … with non-regime switching volatility model, our model outperforms other alternatives on the estimation of volatility …