Modeling Stock Volatility with Trading Information
This paper studies volatility in individual stocks of the Toronto Stock Exchange (TSE), using a recently developed nonlinear approach, a stochastic threshold model. Trading information is embedded into the determination process for volatility in the stochastic threshold model with a generalized conditional heteroskeasticitic variance (STGARCH). We use the number of price changes (quote changes) to approximate the trading information. This trading variable has significantly positive impact on stock volatility following a declining market and ambiguous impact on the stock volatility following a rising market; there is higher probability to fall into a highly volatile state after a declining market than after a rising market. The GARCH- type persistence in volatility is reduced significantly in our nonlinear model for individual stocks with high persistence. The STGARCH model also gives satisfactory fitting in terms of alternative model selection criteria. Keywords: Volatility; Asymmetry; Trading variable; Information arrivals; Stochastic threshold
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||Jan 1999|
|Date of revision:|
|Contact details of provider:|| Postal: Department of Economics, Reference Centre, Social Science Centre, University of Western Ontario, London, Ontario, Canada N6A 5C2|
Phone: 519-661-2111 Ext.85244
Web page: http://economics.uwo.ca/research/research_papers/department_working_papers.html
When requesting a correction, please mention this item's handle: RePEc:uwo:uwowop:9904. 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: ()
If references are entirely missing, you can add them using this form.