Stochastic conditonal range, a latent variable model for financial volatility

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.

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Year of publication:	2014-02-28
Authors:	Galli, Fausto
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Financial econometrics \| range \| volatility \| importance sampling

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C5 - Econometric Modeling ; c58
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011112722