I am trying to predict the intraday moving range of stock/forex (essentially, high-low). Here are some ideas based on what I've been reading recently (do not have quant background, so basic level of understanding).
1) GARCH can be used to model volatility. This seems to model intraday returns (close-open) and not necessarily the daily range. Are there any implications if I choose (high-low) as proxy for returns ? The purpose of using the range predictor is mainly to figure out my stops based on my entry point.
2) I also came across GARMAN-KLASS (OHLC) volatility estimator. Any pros/cons on using this volatility estimator as a time series and use a weighted moving average to predict next-day volatility and map that volatility to a range ?
3) Lastly, the most basic option would be to simply use a weighted moving average of recent ranges and use that as a prediction ?
Appreciate any inputs.
[*EDIT - I've posted this on main page as well since I see this is beta and I am not sure if this gets as much traffic. Please merge when there is a response *]