volatility forecast. In this chapter, two new univariate Markov regime switching models based on intraday range are introduced. A … regime switching conditional volatility model is combined with a robust measure of volatility based on intraday range, in a …

In this paper, we investigate the long run dynamics of the intraday range of the GBP/USD, JPY/USD and CHF/USD exchange … rates. We use a non-parametric filter to extract the low frequency component of the intraday range, and model the cyclical … those of the two-factor intraday range-based EGARCH model of Brandt and Jones (2006). Not only is the cyclical volatility …

including intraday range as a realized measure is more substantial than realized variance. All the key findings are robust under …