Modeling and forecasting trading volume index: GARCH versus TGARCH approach

Autor:	Sabiruzzaman, Rabiul Alam Beg, Md. Monimul Huq, Sajid Anwar
Rok vydání:	2010
Předmět:	Economics and Econometrics Financial economics business.industry Autoregressive conditional heteroskedasticity Monetary policy Information asymmetry Investment decisions Stock exchange Economics Stock market Volatility (finance) business Finance Risk management
Zdroj:	The Quarterly Review of Economics and Finance. 50:141-145
ISSN:	1062-9769
DOI:	10.1016/j.qref.2009.11.006
Popis:	Volatility has been described as an indicator of uncertainty which has implications for investment decisions, risk management as well as monetary policy. This paper investigates the pattern of volatility in the daily trading volume index of Hong Kong stock exchange. The empirical evidence provided in this paper suggests that TGARCH specification is superior to GARCH specification. This is particularly important when one is dealing with the case of asymmetric information that captures the leverage effect of the volatile stock market.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::8e6e31e2b3472358b98142d8fd37cb03 https://doi.org/10.1016/j.qref.2009.11.006 Zobrazit plný text záznamu Full Text from ScienceDirect