Stochastic volatility models including open, close, high and low prices

Enrique Ter Horst, Abel Rodriguez, Henryk Gzyl () and German Molina

Quantitative Finance, 2012, vol. 12, issue 2, 199-212

Abstract: Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility models that uses opening and closing prices along with the minimum and maximum prices within a trading period to infer the dynamics underlying the volatility process of asset prices and compare it with similar models presented previously in the literature. The paper also discusses sequential Monte Carlo algorithms to fit this class of models and illustrates its features using both a simulation study and real data.

Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (18)

Downloads: (external link)
http://hdl.handle.net/10.1080/14697688.2010.492233 (text/html)
Access to full text is restricted to subscribers.

Related works:
Working Paper: Stochastic Volatility Models Including Open, Close, High and Low Prices (2009)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:12:y:2012:i:2:p:199-212

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RQUF20

DOI: 10.1080/14697688.2010.492233

Access Statistics for this article

Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral

More articles in Quantitative Finance from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().