Browsing by Author "Liu, Nathan"

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The economic value of volatility timing using a range-based volatility model
(2010-11-01)
Chou, Ray Yeutien
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Liu, Nathan
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經營管理研究所
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Institute of Business and Management
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. (C) 2010 Elsevier B.V. All rights reserved.