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Article

Cross-border exchanges and volatility forecasting

Citation
Goyal A, Kallinterakis V, Kambouroudis DS & Laws J (2018) Cross-border exchanges and volatility forecasting. Quantitative Finance, 18 (5), pp. 789-799. https://doi.org/10.1080/14697688.2017.1414512

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.

Keywords
Volatility forecasting; Exchange groups; Feedback trading; Global financial crisis JEL Classification: G01; G02; G15; G17

Journal
Quantitative Finance: Volume 18, Issue 5

StatusPublished
Author(s)Goyal, Abhinav; Kallinterakis, Vasileios; Kambouroudis, Dimos S; Laws, Jason
Publication date31/12/2018
Publication date online23/01/2018
Date accepted by journal05/12/2017
URLhttp://hdl.handle.net/1893/26731
PublisherTaylor and Francis
ISSN1469-7688
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