Solution to last brainteaser Expected Range Application: I was looking at a GARC

Question

Solution to last brainteaser Expected Range Application: I was looking at a GARCH that I thought would benefit from using range instead of squared return. Consider a stock with returns N(0, ^2). Sub-question: What is the expected value of its squared return? Question: What is the expected value of its range for the day? Solve analytically Solve via simulation Meta-question: What we really need is, observing the range R, what is the expected value of or ^2. What can you say about this question? Are MLE's useful here? How about a distribution for ?

Explanation / Answer

To address the anser for the above question we require the exact range and question that what is that they questioner is expecting .

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