This paper explores a number of statistical models for predicting the daily stock return volatility of an aggregate of all stocks traded on the NYSE. An application of linear and non-linear Granger causality tests highlights evidence of bidirectional causality, although the relationship is stronger
β¦ LIBER β¦
Do misalignments predict aggregated stock-market volatility?
β Scribed by Christophe Boucher; Bertrand Maillet; Thierry Michel
- Book ID
- 116422006
- Publisher
- Elsevier Science
- Year
- 2008
- Tongue
- English
- Weight
- 141 KB
- Volume
- 100
- Category
- Article
- ISSN
- 0165-1765
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## Abstract We propose a general double tree structured ARβGARCH model for the analysis of global equity index returns. The model extends previous approaches by incorporating (i) several multivariate thresholds in conditional means and volatilities of index returns and (ii) a richer specification f