Logo
Munich Personal RePEc Archive

Stochastic conditonal range, a latent variable model for financial volatility

Galli, Fausto (2014): Stochastic conditonal range, a latent variable model for financial volatility.

[img]
Preview
PDF
MPRA_paper_54030.pdf

Download (239kB) | Preview

Abstract

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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.