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

See all articles by Ray Y. Chou

Ray Y. Chou

Academia Sinica

Heng-Chih Chou

National Taiwan Ocean University

Nathan Liu

Institute of Finance, National Chiao Tung University

Abstract

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

Suggested Citation

Chou, Ray Y. and Chou, Heng-Chih and Liu, Nathan, Range Volatility Models and Their Applications in Finance. HANDBOOK OF QUANTITATIVE FINANCE AND RISK MANAGEMENT, Cheng-Few Lee and Alice C. Lee, eds., 2009, Available at SSRN: https://ssrn.com/abstract=1143265

Ray Y. Chou

Academia Sinica ( email )

128 Academia Road, Section 2
Nankang
Taipei, 11529
Taiwan

Heng-Chih Chou (Contact Author)

National Taiwan Ocean University ( email )

2 Bei-Ning Road
Keelung, Taiwan 20224
Taiwan

Nathan Liu

Institute of Finance, National Chiao Tung University ( email )

1001 University Road
East District
Hsinchu, 300
Taiwan

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