کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5054302 1476532 2014 9 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range
ترجمه فارسی عنوان
تاثیر حجم معاملات، تعداد معاملات و بازدهی یکروزه در پیش بینی محدوده تحقق روزانه
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
Intraday data of 26 German stocks are used to investigate whether the information contained in trading volume and number of trades as well as in various specifications of overnight returns can improve one-step-ahead volatility forecasts. For this purpose, a HAR model of the realized range adjusted for discrete trading is augmented by each of these variables and compared with the model's default form. The results show that the considered liquidity measures lead to very modest improvements in forecasting performance. The overnight returns exhibit some in-sample forecasting power. However, the accuracy improvement of out-of-sample forecasts is unequivocally non-significant.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economic Modelling - Volume 36, January 2014, Pages 332-340
نویسندگان
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