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    ASIA unversity > 管理學院 > 財務金融學系 > 會議論文 >  Item 310904400/63672


    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/63672


    Title: The Information Content of Trading Volume for the Realized Volatility of Individual Stocks
    Authors: Huimin Chung, Chin-Sheng Huang,Tseng-Chan Tseng
    Contributors: Institute of Finance at the National Chiao Tung University,Department of Finance at the National Yunlin University,Department of Finance at the Nan Kai University
    Keywords: 波動預測,?續訊息到達假?,HAR-RV 模型,已實現變?,高頻?資?,Volatility forecasting;‘Sequential information arrival’ (SIA) hypothesis;HAR-RV model;Realized variance;High-frequency data.
    Date: 2010
    Issue Date: 2013-08-07 09:24:43 (UTC+8)
    Publisher: Institute of Finance at the National Chiao Tung University,Department of Finance at the National Yunlin University,Department of Finance at the Nan Kai University
    Abstract: 本文針對道瓊30 成份股當中的20 檔股價資?,採用HAR (heterogeneous autoregressive)模型,並在模型中加入交??變?,試圖改善實現波動?的預測績效,本文稱此修正後的模型為HAR-RV-cum-Vol 模型。本文發現, 在加入交??於HAR 模型後, 能夠適時的捕捉資訊傳遞至股票市場的情況, 進而改善對於實現波動?的預測績效;而此研究結果於樣本內與樣本外均是一致的情況。

    Using intraday data on 20 individual stocks, we incorporate lagged trading volume into the ‘heterogeneous auto-regressive’ (HAR) model of realized volatility, in an attempt to achieve general performance improvements in the overall forecasting of realized variance; we refer to this modified model as the ‘HAR-RV-cum-Vol’ model.Our findings demonstrate that the HAR-RV-cum-Vol model significantly improves the forecasting performance of future realized volatility, with our results holding for both in-sample and out-of-sample forecasts.
    Relation: 2010中部學術財金研討會 論文發表
    Appears in Collections:[財務金融學系] 會議論文

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