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A new approach to bad news effects on volatility: the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)

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Author Info
José Dias Curto ()
João Tomaz
José Castro Pinto
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File URL: http://hdl.handle.net/10.1007/s10258-009-0037-9
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Publisher Info
Article provided by Springer in its journal Portuguese Economic Journal.

Volume (Year): 8 (2009)
Issue (Month): 1 (April)
Pages: 23-36
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Handle: RePEc:spr:portec:v:8:y:2009:i:1:p:23-36

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Related research
Keywords: Conditional heteroskedasticity; Multiple regimes; Trading volume; Estimation; Forecasting; C22; C51; C54; G15;

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Engle, Robert F & Ng, Victor K, 1993. " Measuring and Testing the Impact of News on Volatility," Journal of Finance, American Finance Association, vol. 48(5), pages 1749-78, December. [Downloadable!] (restricted)
    Other versions:
  2. Asger Lunde & Peter R. Hansen, 2005. "A forecast comparison of volatility models: does anything beat a GARCH(1,1)?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 873-889. [Downloadable!]
    Other versions:
  3. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," Journal of Business, University of Chicago Press, vol. 36, pages 394. [Downloadable!]
  4. Niklas Wagner & Terry A. Marsh, 2004. "Surprise Volume and Heteroskedasticity in Equity Market Returns," Econometrics 0409009, EconWPA. [Downloadable!]
  5. Liu, Shi-Miin & Brorsen, B Wade, 1995. "Maximum Likelihood Estimation of a Garch-Stable Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(3), pages 273-85, July-Sept. [Downloadable!] (restricted)
  6. David Harvey & Paul Newbold, 2000. "Tests for multiple forecast encompassing," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 471-482. [Downloadable!]
  7. Andrew Patton, 2006. "Volatility Forecast Comparison using Imperfect Volatility Proxies," Research Paper Series 175, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  8. Hansen, Peter Reinhard, 2005. "A Test for Superior Predictive Ability," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 365-380, October. [Downloadable!] (restricted)
  9. Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-63, July.
    Other versions:
  10. Stefan Mittnik & Marc Paolella & Svetlozar Rachev, 1998. "Unconditional and Conditional Distributional Models for the Nikkei Index," Asia-Pacific Financial Markets, Springer, vol. 5(2), pages 99-128, May. [Downloadable!] (restricted)
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