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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
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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
