[PDF] Top 20 On forecasting daily stock volatility: The role of intraday information and market conditions

... nonparametric volatility estimators of daily price variation alongside the squared returns and the GARCH volatility are assessed according to criteria motivated by the ...nonparametric ... See full document

... nonparametric volatility estimators of daily price variation alongside the squared returns and the GARCH volatility are assessed according to criteria motivated by the ...nonparametric ... See full document

... among market-makers, and the quality of disseminated public information act as a determinant of ...the intraday relationships among liquidity, volatility and trading activity at security ... See full document

... stressed market periods compared to the overall sample ...the intraday seasonality the more levels are included as they bear two ...the volatility and additional induced seasonality by liquidity as ... See full document

... in stock prices related to calendar ...greater volatility in NYSE to private information revealed in trading and to temporary price deviations induced by specialists and other ...that market ... See full document

... Earnings volatility contains incremental information that improves the prediction of future firm performance (Dichev and Tang, 2009 ; Frankel and Litov, 2009 ;Petrovic et al, 2009 ; Hamzavi and Aflatooni, ... See full document

... Moreover, information is costly, so it is impossible for individual investors and even institutional investors to collect and analyse all information about all securities in the market in a timely ... See full document

... three information sets — daily trading volume, intraday returns and overnight returns — to predict equity ...historical daily re- turns with volume ...the stock when the forecasted ... See full document

... The intraday HSI data covers the 2-year-period from March 26, 2012 to December 30, ...The daily interval covers the period from 9:20 ...to information accumulated over- night, and consequently ... See full document

... implied volatility as a predictor for future ...the information content of IV for the S&P100 index options to GARCH type conditional volatility and find that IV models contain predictive ... See full document

... the volatility, performance and efficiency of stock returns remains vital and essential information to ...Nigerian Stock Exchange has existed, its ability to generate confidence is still in ... See full document

... of stock market ...of volatility, the level of volatility to which the process reverts, is constant through ...unconditional volatility sequence around which a standard dynamic process ... See full document

... the volatility forecast comparison is the choice of the true volatility ...true volatility is a latent variable that cannot be observed in the market, an efficient and accurate representation ... See full document

... all volatility measures, with the exception of the RNG for the 5% day-ahead VaR, can produce VaR forecasts with correct (un)conditional coverage at a 5% significance level, across forecasting horizons and ... See full document

... out-of-sample forecasting accuracy perspective to come up with the best per- forming ...sample volatility forecasting is concerned it was found that for only modeling the volatility clustering ... See full document

... However, looking at the political agenda and the initiative of different international organizations, like UN Global compact and European Commission, CSR assumed a new dimension. The new dimension is based on the ... See full document

... of stock or stock ...predicting market reactions to equity ...The market reaction to the announcement of an equity offering will depend on its assessment of the probability that the firm will ... See full document

... Our findings are that APARCH is best for forecasting one-day-ahead volatility. The model specification is important, for MSE losses only APARCH-t and APARCH- skew t remains in the MCS, while for QL losses, ... See full document

... measured volatility of small-company stocks may be larger either because of their small size or because of the larger bid-asked spreads associated with such ...total market capitalization of all stocks, has ... See full document

... for market participants, especially for investors but also for regulators and ...informed market players whose actions move prices back to fundamentals (Danielsen and Sorescu (2001), Lamont and Thaler ... See full document