The Effects of US Volatility on Smaller Markets

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F03%3A00007606" target="_blank" >RIV/61989100:27510/03:00007606 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

The Effects of US Volatility on Smaller Markets

Original language description

In this paper, alternative models are proposed which take account of volatility in the US market. One obvious modification is to use GARCH forecasts of volatility from the USA in explaining volatility in smaller markets. Here a positive effect is expected (so that both returns move in the same direction). While this has its attractions, one-step ahead ex ante forecasts from GARCH models are awkward to calculate and a simpler alternative is to use recent observed values of the actual return in the US market in the variance equation for a second market. This can be supported by arguing that this information is more easily available than GARCH forecasts and so is more likely to be used by market participants.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

AH - Economics

OECD FORD branch

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Project

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Continuities

Z - Vyzkumny zamer (s odkazem do CEZ)

Publication year

2003

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

EURO Working Group on Financial Modelling

ISBN

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ISSN

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e-ISSN

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Number of pages

6

Pages from-to

1-8

Publisher name

Imperial College Management School

Place of publication

London, UK

Event location

London

Event date

Apr 24, 2003

Type of event by nationality

EUR - Evropská akce

UT code for WoS article

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