Modeling and forecasting trading volume index: GARCH versus TGARCH approach
Sabiruzzaman, Md., Huq, Md. Monimul, Beg, Rabiul Alam, and Anwar, Sajid (2010) Modeling and forecasting trading volume index: GARCH versus TGARCH approach. Quarterly Review of Economics and Finance, 50 (2). pp. 141-145.
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Volatility has been described as an indicator of uncertainty which has implications for investment decisions, risk management as well as monetary policy. This paper investigates the pattern of volatility in the daily trading volume index of Hong Kong stock exchange. The empirical evidence provided in this paper suggests that TGARCH specification is superior to GARCH specification. This is particularly important when one is dealing with the case of asymmetric information that captures the leverage effect of the volatile stock market.
|Item Type:||Article (Refereed Research - C1)|
|Keywords:||trading volume; volatility; GARCH; TGARCH; leverage effect; high frequency data|
|FoR Codes:||14 ECONOMICS > 1403 Econometrics > 140305 Time-Series Analysis @ 100%|
|SEO Codes:||91 ECONOMIC FRAMEWORK > 9101 Macroeconomics > 910199 Macroeconomics not elsewhere classified @ 100%|
|Deposited On:||06 Aug 2010 11:58|
|Last Modified:||12 Feb 2011 21:24|
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