Cross-border exchanges and volatility forecasting

Goyal, Abhinav ORCID: 0000-0002-9859-2117, Kallinterakis, Vasileios ORCID: 0000-0001-6217-1188, Kambouroudis, Dimos and Laws, Jason ORCID: 0000-0002-0277-2018 (2018) Cross-border exchanges and volatility forecasting. QUANTITATIVE FINANCE, 18 (5). pp. 789-799.

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Abstract

We test for the performance of a series of volatility forecasting models (GARCH 1,1; EGARCH 1,1; CGARCH) in the context of several indices from the two oldest cross-border exchanges (Euronext; OMX). Our findings overall indicate that the EGARCH (1,1) model outperforms the other two, both before and after the outbreak of the global financial crisis. Controlling for the presence of feedback traders, the accuracy of the EGARCH (1,1) model is not affected, something further confirmed for both the pre and post crisis periods. Overall, ARCH effects can be found in the Euronext and OMX indices, with our results further indicating the presence of significant positive feedback trading in several of our tests.

Item Type:	Article
Uncontrolled Keywords:	Volatility forecasting, Exchange groups, Feedback trading, Global financial crisis
Depositing User:	Symplectic Admin
Date Deposited:	09 Feb 2018 09:07
Last Modified:	19 Jan 2023 06:42
DOI:	10.1080/14697688.2017.1414512
Related URLs:	Author Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3017753