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Advisor(s)
Abstract(s)
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 eff ects. 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.
Description
Keywords
Conditional heteroskedasticity Multiple regimes Trading volume Estimation Forecasting
Pedagogical Context
Citation
Curto, José Dias, João Amaral Tomaz e José Castro Pinto (2001). "A new approach to bad news effects on volatilit y: the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)". Portuguese Economic Journal, 8(1):23-36
