Cross-border exchanges and volatility forecasting

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dc.contributor.authorGoyal, Abhinav
dc.contributor.authorKallinterakis, Vasileios
dc.contributor.authorKambouroudis, Dimos
dc.contributor.authorLaws, Jason
dc.date.accessioned2020-01-21T15:55:37Z
dc.date.available2020-01-21T15:55:37Z
dc.date.issued2018-01-23
dc.date.updated2020-01-21T15:49:22Z
dc.description.abstractWe 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.en
dc.description.statusPeer revieweden
dc.description.versionAccepted Versionen
dc.format.mimetypeapplication/pdfen
dc.identifier.citationGoyal, A., Kallinterakis, V., Kambouroudis, D. and Laws, J. (2018) 'Cross-border exchanges and volatility forecasting', Quantitative Finance, 18(5), pp. 789-799. doi: 10.1080/14697688.2017.1414512en
dc.identifier.doi10.1080/14697688.2017.1414512en
dc.identifier.endpage799en
dc.identifier.issn1469-7688
dc.identifier.issued5en
dc.identifier.journaltitleQuantitative Financeen
dc.identifier.startpage789en
dc.identifier.urihttps://hdl.handle.net/10468/9548
dc.identifier.volume18en
dc.language.isoenen
dc.publisherTaylor & Francisen
dc.relation.urihttps://www.tandfonline.com/doi/full/10.1080/14697688.2017.1414512
dc.rights© 2018 Informa UK Limited, trading as Taylor & Francis Group. This is an Accepted Manuscript of an article published by Taylor & Francis in Quantitative Finance on 23 Jan 2018, available online: http://www.tandfonline.com/10.1080/14697688.2017.1414512en
dc.subjectExchange groupsen
dc.subjectFeedback tradingen
dc.subjectGlobal financial crisisen
dc.subjectVolatility forecastingen
dc.titleCross-border exchanges and volatility forecastingen
dc.typeArticle (peer-reviewed)en
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