IDEAS home Printed from https://ideas.repec.org/a/bla/pacecr/v12y2007i5p665-681.html
   My bibliography  Save this article

Asymmetric Information Impacts: Evidence From The Australian Treasury‐Bond Futures Market

Author

Listed:
  • Liping Zou
  • Lawrence C Rose
  • John F Pinfold

Abstract

. The effect of information flows on the return volatility of Australian 3‐year Treasury bond futures is examined using linear and non‐linear GARCH models. Results show significant asymmetric information effects, where bad news has a greater impact on volatility than good news and a non‐linear Threshold ARCH(1,1) in mean model provides the most accurate estimation of return volatility. Diagnostic tests confirm this finding and out of sample forecasting error statistics verify that the Threshold ARCH(1,1) in mean model yields the lowest forecasting error. The Threshold ARCH(1,1)‐M model is best at capturing the asymmetric information impact on the Australian three‐year T‐Bond futures return volatility.

Suggested Citation

  • Liping Zou & Lawrence C Rose & John F Pinfold, 2007. "Asymmetric Information Impacts: Evidence From The Australian Treasury‐Bond Futures Market," Pacific Economic Review, Wiley Blackwell, vol. 12(5), pages 665-681, December.
    • Handle: RePEc:bla:pacecr:v:12:y:2007:i:5:p:665-681
    DOI: 10.1111/j.1468-0106.2007.00378.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1468-0106.2007.00378.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1468-0106.2007.00378.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Marie-Eliette Dury & Bing Xiao, 2018. "Forecasting the Volatility of the Chinese Gold Market by ARCH Family Models and extension to Stable Models," Working Papers hal-01709321, HAL.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:pacecr:v:12:y:2007:i:5:p:665-681. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=1361-374X .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.