Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model
This paper proposes quantile Rogers-Satchell (QRS) measure to ensure robustness to intraday extreme prices. We add an efficient term to correct the downward bias of Rogers-Satchell (RS) measure and provide scaling factors for different interquantile range levels to ensure unbiasedness of QRS. Simula...
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| Main Authors: | , , |
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| Format: | Article |
| Published: |
Walter De Gruyter GMBH
2022
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| Subjects: | |
| Online Access: | http://eprints.um.edu.my/42108/ |
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| Institution: | Universiti Malaya |