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Modeling and forecasting trading volume index: GARCH versus TGARCH approach

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  • Sabiruzzaman, Md.
  • Monimul Huq, Md.
  • Beg, Rabiul Alam
  • Anwar, Sajid

Abstract

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.

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Bibliographic Info

Article provided by Elsevier in its journal The Quarterly Review of Economics and Finance.

Volume (Year): 50 (2010)
Issue (Month): 2 (May)
Pages: 141-145

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Handle: RePEc:eee:quaeco:v:50:y:2010:i:2:p:141-145

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Web page: http://www.elsevier.com/locate/inca/620167

Related research

Keywords: Trading volume Volatility GARCH TGARCH Leverage effect High frequency data;

References

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Cited by:
  1. Morales, Lucía & Gassie, Esmeralda, 2011. "Structural breaks and financial volatility: Lessons from BRIC countries," IAMO Forum 2011: Will the "BRICs Decade" Continue? – Prospects for Trade and Growth 13, Leib­niz Institute of Agricultural Development in Central and Eastern Europe (IAMO).

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