A new approach to bad news effects on volatility: The Multiple-Sign-Volume sensitive regime EGARCH model (MSV-EGARCH)

Curto, J. D.; Tomás, J. A.; Pinto, J. C.

doi:10.1007/s10258-009-0037-9

Utilize este identificador para referenciar este registo: http://hdl.handle.net/10071/5540

Autoria:	Curto, J. D. Tomás, J. A. Pinto, J. C.
Data:	2009
Título próprio:	A new approach to bad news effects on volatility: The Multiple-Sign-Volume sensitive regime EGARCH model (MSV-EGARCH)
Volume:	8
Número:	1
Paginação:	23 - 36
Referência bibliográfica:	Curto, J. D., Tomás, J. A., & Pinto, J. C. (2009). A new approach to bad news effects on volatility: The Multiple-Sign-Volume sensitive regime EGARCH model (MSV-EGARCH). Portuguese Economic Journal. 8 (1), 23-36. https://dx.doi.org/10.1007/s10258-009-0037-9
ISSN:	1617-982X
DOI (Digital Object Identifier):	10.1007/s10258-009-0037-9
Palavras-chave:	Conditional heteroskedasticity Multiple regimes Trading volume Estimation Técnicas de previsão -- Forecasting techniques
Resumo:	In this paper, using daily data for six major international stock market indexes and a modified EGARCH specification, the links between stock market returns, volatility and trading volume are investigated in a new nonlinear conditional variance framework with multiple regimes and volume effects. Volatility forecast comparisons, using the Harvey-Newbold test for multiple forecasts encompassing, seem to demonstrate that the MSV-EGARCH complex threshold structure is able to correctly fit GARCH-type dynamics of the series under study and dominates competing standard asymmetric models in several of the considered stock indexes.
Arbitragem científica:	yes
Acesso:	Acesso Aberto
Aparece nas coleções:	BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica

Ficheiros deste registo:

Ficheiro	Descrição	Tamanho	Formato
article_10188.pdf	Pós-print	355,82 kB	Adobe PDF	Ver/Abrir

Mostrar registo em formato completo Visualizar estatísticas