Volatility estimators and the inverse range process in a random volatility random walk and Wiener processes

Pierre Vallois and Charles S. Tapiero

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 11, 2565-2574

Abstract: The purpose of this paper is to study the mean, the variance, the probability distribution and the hazard rate of the inverse range process of an a-priori unknown volatility random walk. Motivation for this process arises when it is necessary to obtain statistics that pertain to a process volatility in addition to the usual variance statistics. As a result, range process statistics are indicated as an additional source of information in the study of processes’ volatility. Examples and applications are considered.

Keywords: Volatility; Range process; Risk (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:11:p:2565-2574

DOI: 10.1016/j.physa.2007.12.018

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