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After fitting a possibly non\u2010Gaussian bivariate vector autoregression (VAR) model to the center\/log\u2010range system, we transform prediction regions (analytical and bootstrap) for this system into regions for center\/range and upper\/lower bounds systems. Monte Carlo simulations show that bootstrap methods are preferred according to several new metrics. For daily S&amp;P 500 low\/high returns, we build joint conditional prediction regions of the return level and volatility. We illustrate the usefulness of obtaining bootstrap forecasts regions for low\/high returns by developing a trading strategy and showing its profitability when compared to using point forecasts.<\/jats:p>","DOI":"10.1002\/jae.2754","type":"journal-article","created":{"date-parts":[[2020,2,11]],"date-time":"2020-02-11T10:46:05Z","timestamp":1581417965000},"page":"373-390","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":17,"title":["Prediction regions for interval\u2010valued time series"],"prefix":"10.1002","volume":"35","author":[{"given":"Gloria","family":"Gonzalez\u2010Rivera","sequence":"first","affiliation":[{"name":"Department of Economics University of California  Riverside, California"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Yun","family":"Luo","sequence":"additional","affiliation":[{"name":"Department of Economics University of California  Riverside, California"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Esther","family":"Ruiz","sequence":"additional","affiliation":[{"name":"Department of Statistics Universidad Carlos III de Madrid  Madrid Spain"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2020,3,29]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/1540-6261.00454"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176349405"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.1122"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2015.11.018"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1086\/497405"},{"issue":"1","key":"e_1_2_10_7_1","first-page":"450","article-title":"Forecasting volatility with time\u2010varying leverage and volatility effects","volume":"17","author":"Catania L.","year":"2019","journal-title":"CEIS Tor Vergata Research Paper Series"},{"key":"e_1_2_10_8_1","doi-asserted-by":"publisher","DOI":"10.1002\/for.1087"},{"key":"e_1_2_10_9_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4614-7750-1_74"},{"key":"e_1_2_10_10_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0169-2070(01)00126-1"},{"key":"e_1_2_10_11_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465399558526"},{"key":"e_1_2_10_12_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500104000000415"},{"key":"e_1_2_10_13_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2014.04.001"},{"key":"e_1_2_10_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.enpol.2009.10.007"},{"key":"e_1_2_10_15_1","doi-asserted-by":"publisher","DOI":"10.1007\/s11749-008-0114-x"},{"key":"e_1_2_10_16_1","doi-asserted-by":"publisher","DOI":"10.1109\/TPWRS.2018.2791975"},{"key":"e_1_2_10_17_1","doi-asserted-by":"publisher","DOI":"10.1080\/07350015.2013.818004"},{"key":"e_1_2_10_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2014.03.019"},{"key":"e_1_2_10_19_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2011.06.001"},{"key":"e_1_2_10_20_1","doi-asserted-by":"crossref","first-page":"189","DOI":"10.1111\/j.2517-6161.1976.tb01585.x","article-title":"Forecasting transformed series","volume":"38","author":"Granger C. 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