A new approach to bad news effects on volatility: the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH)
نویسندگان
چکیده
منابع مشابه
On the multivariate EGARCH model
Taylor & Francis makes every effort to ensure the accuracy of all the information (the “Content”) contained in the publications on our platform. However, Taylor & Francis, our agents, and our licensors make no representations or warranties whatsoever as to the accuracy, completeness, or suitability for any purpose of the Content. Any opinions and views expressed in this publication are the opin...
متن کاملVolatility Forecast Based on Intelligent Egarch Error Correction Model
Original scientific paper As the stock market volatility is highly nonlinear, coupling and time varying, it is difficult to predict by the traditional forecasting methods. For explaining the existing problems of the current volatility forecasting method, we use the model based on the weighted least squares support vector regression (WLSSVR) method to predict the stock index volatility in this p...
متن کاملVolatility Forecasting With Range-Based EGARCH Models
We provide a simple, yet highly effective framework for forecasting return volatility by combining exponential generalized autoregressive conditional heteroscedasticity models with data on the range. Using Standard and Poor’s 500 index data for 1983–2004, we demonstrate the importance of a long-memory specification, based on either a two-factor structure or fractional integration, that allows f...
متن کاملOn the Invertibility of EGARCH
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent shocks to volatility. Howe...
متن کاملNews Media as a Channel of Environmental Information Disclosure: Evidence from an EGARCH Approach
This paper incorporates EGARCH modeling in a financial event study relating firm value to negative environmental news. News media provide informal information channels unlike formal government disclosure programs. This paper improves on previous studies by using a larger sample than most studies, treating heteroskedasticity in the disturbance term with a hybrid method that allows EGARCH, and co...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Portuguese Economic Journal
سال: 2009
ISSN: 1617-982X,1617-9838
DOI: 10.1007/s10258-009-0037-9