In this paper, we propose to adopt price-range volatility to gauge risk. To demonstrate that the indicator we propose is a good candidate for measuring risk, we investigate empirically the statistical properties of price range volatility on Standard and Poors 500 index. Our results show that the distribution of price range volatility is nearly normal, and the dynamic structures of price range volatility can be well captured by a Moving Average model of order one. Furthermore, the results also indicate that price range volatility can be highly predictable, which makes it an excellent indicator for risk-management.
XIE Haibin
, ZOU Guohua
, WANG Shouyang. , {{custom_author.name_en}}.
Price Range Volatility--- A New Indicator for Risk Measurement. Journal of Systems Science and Mathematical Sciences, 2009, 29(11): 1460-1466 https://doi.org/10.12341/jssms08477
PDF(504 KB)
