Stochastic conditonal range, a latent variable model for financial volatility
Fausto Galli ()
MPRA Paper from University Library of Munich, Germany
In this paper I introduce a latent variable augmented version of the conditional autoregressive range (CARR) model. The new model, called stochastic conditional- range (SCR) can be estimated by Kalman filter or by efficient importance sampling depending on the hypotheses on the distributional form of the innovations. A predic- tive accuracy comparison with the CARR model shows that the new approach can provide an interesting alternative.
Keywords: Financial econometrics; range; volatility; importance sampling (search for similar items in EconPapers)
JEL-codes: C15 C5 C58 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ore
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