Article ID Journal Published Year Pages File Type
5098868 Journal of Economic Dynamics and Control 2010 14 Pages PDF
Abstract
There is growing interest in utilizing the range data of asset prices to study the role of volatility in financial markets. In this paper, a new range-based volatility model was used to examine the economic value of volatility timing in a mean-variance framework. We compared its performance with a return-based dynamic volatility model in both in-sample and out-of-sample volatility timing strategies. For a risk-averse investor, it was shown that the predictable ability captured by the dynamic volatility models is economically significant, and that a range-based volatility model performs better than a return-based one.
Related Topics
Physical Sciences and Engineering Mathematics Control and Optimization
Authors
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