Journal article
Modeling and Forecasting Trading Volume Index: GARCH versus TGARCH Approach
Quarterly Review of Economics and Finance, Vol.50(2), pp.141-145
2010
Abstract
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.
Details
- Title
- Modeling and Forecasting Trading Volume Index: GARCH versus TGARCH Approach
- Authors
- Md Sabiruzzaman (Author) - Rajshahi University, BangladeshMd M Huq (Author) - Department of Statistics, Rajshahi, BangladeshR A Beg (Author) - James Cook UniversitySajid Anwar (Author) - University of the Sunshine Coast - Faculty of Business
- Publication details
- Quarterly Review of Economics and Finance, Vol.50(2), pp.141-145
- Publisher
- Elsevier BV
- Date published
- 2010
- DOI
- 10.1016/j.qref.2009.11.006
- ISSN
- 1062-9769
- Organisation Unit
- School of Business and Creative Industries; Indigenous and Transcultural Research Centre; University of the Sunshine Coast, Queensland; USC Business School - Legacy
- Language
- English
- Record Identifier
- 99449315702621
- Output Type
- Journal article
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