Article thumbnail

Cross-border exchanges and volatility forecasting

By Abhinav Goyal, Vasileios Kallinterakis, Dimos S Kambouroudis and Jason Laws

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

Topics: Volatility forecasting, Exchange groups, Feedback trading, Global financial crisis JEL Classification: G01, G02, G15, G17
Publisher: 'Informa UK Limited'
Year: 2018
DOI identifier: 10.1080/14697688.2017.1414512
OAI identifier: oai:dspace.stir.ac.uk:1893/26731

Suggested articles


To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.