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Publication Detailed Description
A new approach to bad news effects on volatility: the Multiple-Sign-Volume sensitive regime EGARCH model (MSV-EGARCH)
Journal Title
Portuguese Economic Journal
Year (definitive publication)
2009
Language
English
Country
Germany
More Information
Web of Science®
Scopus
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This publication is not indexed in Overton
Abstract
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.
Acknowledgements
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Keywords
Conditional heteroskedasticity,Multiple regimes,Trading volume,Estimation,Forecasting
Fields of Science and Technology Classification
- Economics and Business - Social Sciences
Publication Identifiers
| 2-s2.0-63349094957 | |
| 10.1007/s10258-009-0037-9 | |
| WOS:000264496200004 | |
| 000264496200004 | |
| 2-s2.0-63349094957 | |
| ci-pub-10188 | |
| http://hdl.handle.net/10071/5540 |
Other Publication Details
| 2009 | |||
| Springer Verlag | |||
| Web of Science©; Scopus; | |||
|
1617-982X (print) 1617-9838 (online) |
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| -- | |||
| 0.000 | |||
| 8 | 1 | ||
| 23 - 36 | |||
| Yes | |||
| Digital | |||
| Link to the repository | |||
