In this paper a new ARCH-type volatility model is proposed. The Range-based Heterogeneous Autoregressive Conditional Heteroskedasticity (RHARCH) model draws inspiration from Heterogeneous Autoregressive Conditional Heteroskedasticity presented by Muller et al. (1995), but employs more efficient,...

Modeling of financial markets volatility is one of the most significant issues of contemporary finance, especially with regard to analyzing high-frequency data. Accurate quantification and forecast of volatility are of immense importance in risk management (VaR models, stress testing and...

This paper focuses on volatility of financial markets, which is one of the most important issues in finance, especially with regard to modeling high-frequency data. Risk management, asset pricing and option valuation techniques are the areas where the concept of volatility estimators...

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...