A new approach to bad news effects on volatility: the multiple-sign-volume sens...

• Author(s): Curto, José Dias ; Tomaz, João Amaral ; Pinto, José Castro
• Date: 2009
• Persistent ID: http://hdl.handle.net/10071/5540
• Origin: Repositório do ISCTE-IUL
• Subject(s): Conditional heteroskedasticity; Multiple regimes; Trading volume; Estimation; Forecasting
• Document Type: Article
• Language: English

Description

WOS:000264496200004 (Nº de Acesso Web of Science) 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.