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. …

It is common practice to employ returns, price differences or log returns for financial risk estimation and time series … forecasting. In De Prado’s 2018 book, it was argued that by using returns we lose memory of time series. In order to verify this … transformations. We forecasted risk (volatility) and price value and compared the results of all models using original, unmodified …