Based on the specification of the Conditional Autoregressive Range (CARR) model, we provide a framework that makes use of volatility based on the high and the low of daily prices separately to model the dynamic behavior of the conditional Rogers and Satchell (1991) estimator called herein the...

In this paper, we provide a framework to model and forecast daily volatility based on the newly proposed additive bias corrected extreme value volatility estimator (the Add RS estimator). The theoretical framework of the additive bias corrected extreme value volatility estimator is based on the...