Advanced Search
MyIDEAS: Login to save this article or follow this journal

Using volume to forecast stock market volatility around the time of the 1929 crash


Author Info

  • Bradley Ewing
  • Mark Thompson
  • Mark Yanochik


This article explores the role of trading volume in making out-of-sample forecasts of stock market volatility around the time of the 24 October 1929 crash. Following the recent literature on volatility forecasting, we compare the performance of symmetric and asymmetric GARCH-class models. Moreover, as the volume-volatility relationship is now well established for modern day markets, we also consider the performance of these models when volume is allowed to enter the conditional variance equation. Given the institutional evidence that trading volume was beginning to take on an increasingly important role in the eyes of investors and market regulators during the last part of the 1920s, this is a particularly insightful endeavour. Generally speaking, the volatility models with trading volume provided the best volatility forecasts after 'Black Thursday'.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL:
Download Restriction: Access to full text is restricted to subscribers.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 17 (2007)
Issue (Month): 14 ()
Pages: 1123-1128

as in new window
Handle: RePEc:taf:apfiec:v:17:y:2007:i:14:p:1123-1128

Contact details of provider:
Web page:

Order Information:

Related research



No references listed on IDEAS
You can help add them by filling out this form.



This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


Access and download statistics


When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:17:y:2007:i:14:p:1123-1128. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty).

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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