For The Handbook of Quantitative Finance and Risk Management,

There has been a rapid growth of range volatility due to the demand of empirical finance. This paper contains a review of the important development of range volatility, including various range estimators and range-based volatility models. In addition, other alternative models developed recently, such as range-based multivariate volatility models and realized ranges, are also considered here. At last, this paper provides some relevant financial applications for range volatility