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Volume versus GARCH effects reconsidered: an application to the Spanish Government Bond Futures Market

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  • Jose Montalvo

Abstract

The mixture distribution model is one of the benchmarks for modelling the relationship between volume and return. A basic variable in that theoretical construction is the number of intraday equilibria, which is empirically unobservable. This paper re-examines the finding in Lamoureux and Lastrapes (Journal of Finance, 45, 1990) using alternative proxies for the number of intraday equilibria, which are included in the conditional variance equation of a GARCH model. The results show, using data of the Spanish Government Bond Futures Market for the 1992-94 period, that the number of transaction clusters and the average volume have a positive effect on conditional volatility.

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  • Jose Montalvo, 1999. "Volume versus GARCH effects reconsidered: an application to the Spanish Government Bond Futures Market," Applied Financial Economics, Taylor & Francis Journals, vol. 9(5), pages 469-475.
    • Handle: RePEc:taf:apfiec:v:9:y:1999:i:5:p:469-475
    DOI: 10.1080/096031099332122
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    Cited by:

    1. Madarassy Akin, Rita, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Center for International Economics, Working Paper Series qt1n04g31b, Center for International Economics, UC Santa Cruz.
    2. Madarassy Akin, Rita, 2003. "Maturity Effects in Futures Markets: Evidence from Eleven Financial Futures Markets," Santa Cruz Department of Economics, Working Paper Series qt1n04g31b, Department of Economics, UC Santa Cruz.
    3. Lennart Berg, 2003. "Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweden," Finnish Economic Papers, Finnish Economic Association, vol. 16(2), pages 61-71, Autumn.

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