In this paper, we estimate, model and forecast Realized Range Volatility, a new realized measure and estimator of the …-known stylized effects present in financial data. We consider an HAR model with asymmetric effects with respect to the volatility and …

This paper presents a method for Bayesian nonparametric analysis of the return distribution in a stochastic volatility … series and two stock index return series. We find that estimates of volatility using the model can differ dramatically from …