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Modeling and forecasting trading volume index: GARCH versus TGARCH approach

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

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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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
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620167

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  1. Anat R. Admati, Paul Pfleiderer, 1988. "A Theory of Intraday Patterns: Volume and Price Variability," Review of Financial Studies, Society for Financial Studies, vol. 1(1), pages 3-40.
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  16. Wang, Jiang, 1994. "A Model of Competitive Stock Trading Volume," Journal of Political Economy, University of Chicago Press, vol. 102(1), pages 127-68, February.
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