التفاصيل البيبلوغرافية
العنوان: |
Modelling the Impact of Overnight Surprises on Intra-daily Volatility. |
المؤلفون: |
Gallo, Giampiero M. |
المصدر: |
Australian Economic Papers. Dec2001, Vol. 40 Issue 4, p567. 14p. |
مصطلحات موضوعية: |
Stocks (Finance), Interest rate futures |
مصطلحات جغرافية: |
United States |
مستخلص: |
In this paper we evaluate the impact that stock returns recorded between market closing and opening the next business day have on intra-daily volatility. A simple test shows that the estimated volatility clustering of the intra-daily returns may be affected by a market opening surprise bias. An extension of the standard GARCH model is suggested here to include the effect of this surprise and is applied on a sample of largely traded US stocks. The performance of two specifications in which this effect is included is evaluated in an out-of-sample forecasting exercise relative to their standard counterparts. [ABSTRACT FROM AUTHOR] |
قاعدة البيانات: |
Finance Source |