In this paper an alternative approach to modelling and forecasting single asset returns volatility is presented. A new, bivariate, flexible framework, which may be considered as a development of single-equation ARCH-type models, is proposed. This approach focuses on joint distribution of returns...

This paper shows advantages of using price range in volatility modeling and forecasting. It is known that price range, defined as a difference between the logarithms of the highest and the lowest price of an asset, is a useful volatility approximation. In this paper three different range-based...