Please use this identifier to cite or link to this item:
http://hdl.handle.net/10071/5540| Author(s): | Curto, J. D. Tomás, J. A. Pinto, J. C. |
| Date: | 2009 |
| Title: | A new approach to bad news effects on volatility: The Multiple-Sign-Volume sensitive regime EGARCH model (MSV-EGARCH) |
| Volume: | 8 |
| Number: | 1 |
| Pages: | 23 - 36 |
| Reference: | 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 |
| Keywords: | Conditional heteroskedasticity Multiple regimes Trading volume Estimation Técnicas de previsão -- Forecasting techniques |
| 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. |
| Peerreviewed: | yes |
| Access type: | Open Access |
| Appears in Collections: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| article_10188.pdf | Pós-print | 355,82 kB | Adobe PDF | View/Open |
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