Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model

• Main Authors: Tan, Shay Kee, Chan, Jennifer So Kuen, Ng, Kok Haur
• Format: Article
• Published: Walter De Gruyter GMBH 2022
• Subjects: HB Economic Theory; QA Mathematics
• Online Access: http://eprints.um.edu.my/42108/
• Institution: Universiti Malaya

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...