The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range

Loading...
Thumbnail Image
File version
Author(s)
Todorova, Neda
Soucek, Michael
Griffith University Author(s)
Primary Supervisor
Other Supervisors
Editor(s)
Date
2014
Size

406593 bytes

File type(s)

application/pdf

Location
License
Abstract

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.

Journal Title

Economic Modelling

Conference Title
Book Title
Edition
Volume

36

Issue
Thesis Type
Degree Program
School
Publisher link
Patent number
Funder(s)
Grant identifier(s)
Rights Statement
Rights Statement

© 2014 Elsevier Inc. This is the author-manuscript version of this paper. Reproduced in accordance with the copyright policy of the publisher. Please refer to the journal's website for access to the definitive, published version.

Item Access Status
Note
Access the data
Related item(s)
Subject

Applied economics

Econometrics

Banking, finance and investment

Finance

Persistent link to this record
Citation
Collections