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Cross-border exchanges and volatility forecasting

Author

Listed:
  • Abhinav Goyal
  • Vasileios Kallinterakis
  • Dimos Kambouroudis
  • Jason Laws

Abstract

We 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.

Suggested Citation

  • Abhinav Goyal & Vasileios Kallinterakis & Dimos Kambouroudis & Jason Laws, 2018. "Cross-border exchanges and volatility forecasting," Quantitative Finance, Taylor & Francis Journals, vol. 18(5), pages 789-799, May.
    • Handle: RePEc:taf:quantf:v:18:y:2018:i:5:p:789-799
    DOI: 10.1080/14697688.2017.1414512
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    Cited by:

    1. Fotini Economou & Konstantinos Gavriilidis & Bartosz Gebka & Vasileios Kallinterakis, 2022. "Feedback trading: a review of theory and empirical evidence," Review of Behavioral Finance, Emerald Group Publishing Limited, vol. 15(4), pages 429-476, February.

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