Modeling and forecasting trading volume index: GARCH versus TGARCH approach
AbstractVolatility 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.
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Bibliographic InfoArticle provided by Elsevier in its journal The Quarterly Review of Economics and Finance.
Volume (Year): 50 (2010)
Issue (Month): 2 (May)
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Web page: http://www.elsevier.com/locate/inca/620167
Trading volume Volatility GARCH TGARCH Leverage effect High frequency data;
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