Range Volatility Models and Their Applications in Finance
HANDBOOK OF QUANTITATIVE FINANCE AND RISK MANAGEMENT, Cheng-Few Lee and Alice C. Lee, eds., 2009
25 Pages Posted: 10 Jun 2008 Last revised: 2 Feb 2009
There has been a rapid growth of range volatility due to the demand of empirical finance. This paper contains a review of the important development of range volatility, including a variety of range definitions and range-based volatility models. In addition, range-based multivariate volatility models and realized range are also considered here. At last, this paper suggests some possible and relevant financial applications for range volatility.
Keywords: CARR, DCC, GARCH, High/low range, realized volatility, multivariate volatility, volatility
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