A Regime-Switching Conditional Volatility Model Based on the Intraday Range

Keyphrases

• Regime Switching 100%
• Conditional Volatility Models 100%
• Intraday Range 100%
• Range-based 66%
• Volatility 66%
• Markov Switching 66%
• EWMA Model 66%
• Well number 33%
• Markov Switching Model 33%
• Generalized Autoregressive Conditional Heteroscedasticity (GARCH) 33%
• Volatility Modelling 33%
• Conditional Value at Risk 33%
• CARR Model 33%
• Range-based Volatility 33%
• FIGARCH Model 33%
• Regime-Switching GARCH 33%
• Markov Regime-Switching GARCH 33%
• S&P 500 33%

Mathematics

• Conditionals 100%
• Exponentially Weighted Moving Average 66%
• GARCH Model 33%
• Value at Risk 33%