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. …

The contributions of error distributions have been ignored while modeling stock market volatility in Nigeria and … studies have shown that the application of appropriate error distribution in volatility model enhances efficiency of the model … asymmetric volatility models each in Normal, Student's-t and generalized error distributions with the view to selecting the best …

forecasting technique with respect to various volatility estimators. The methodology of volatility estimation included Close …Volatility has been used as an indirect means for predicting risk accompanied with an asset. Volatility explains the … variations in returns. Forecasting volatility has been a stimulating problem in the financial systems. This study examined the …

forecasting technique with respect to various volatility estimators. The methodology of volatility estimation includes Close …Volatility had been used as an indirect means for predicting risk accompanied with the asset. Volatility explains the … variations in returns. Forecasting volatility had been a stimulating problem in the financial systems. The study examined the …

We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and … for modeling the ISE-100 return volatility. The t-distribution seems to characterize the distribution of the heavy tailed … model to the historical ISE-100 return data indicates that the return volatility reacts to bad news 24% more than they react …

nonstationary. We also establish the estimation theory and asymptotic properties for these models in the short horizon and long …

This paper develops a method to improve the estimation of jump variation using high frequency data with the existence … of market microstructure noises. Accurate estimation of jump variation is in high demand, as it is an important component … of volatility in finance for portfolio allocation, derivative pricing and risk management. The method has a two …

duration estimators can be used for the estimation and forecasting of the integrated variance of an underlying semi … high-frequency data better and produce more accurate forecasts than competing realized volatility and option …