Kumar, D. and Maheswaran, S. (2014) A Reflection Principle for a Random Walk with Implications for Volatility Estimation Using Extreme Values of Asset Prices. Economic Modelling, 38, 33-44.
https://doi.org/10.1016/j.econmod.2013.11.045

has been cited by the following article:

• TITLE: Volatility Prediction: A Study with Structural Breaks

  AUTHORS: Dilip Kumar

  KEYWORDS: CARR Model, AddRS Estimator, Volatility Forecast Evaluation, GARCH Family of Models

  JOURNAL NAME: Theoretical Economics Letters, Vol.8 No.6, April 23, 2018

  ABSTRACT: We incorporate the impact of structural breaks in the unbiased unconditional volatility as proposed by Kumar and Maheswaran with a conditional autoregressive range (CARR) model. The findings of the proposed framework are compared with the findings based on the volatility forecasts of the GARCH model with and without structural breaks in volatility. Our findings based on the analysis on S&P 500, FTSE 100, SZSE Composite and FBMKLCI indices indicate that the proposed framework effectively captures the dynamics of conditional volatility and provides better out-of-sample forecasts relative to GARCH models with and without structural breaks in volatility.