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Forecasting Trading-Session Return Volatility in Taiwan Futures Market: A Periodic Regime Switching with Jump Approach.
- Source :
- Asia-Pacific Financial Markets; Jun2024, Vol. 31 Issue 2, p285-305, 21p
- Publication Year :
- 2024
-
Abstract
- This study develops a novel periodic regime-switching model (the PRS model) to improve the forecasting of stock market volatility by accounting for the information from non-trading and trading periods, including regular trading and after-hour trading. Empirical analysis of the Taiwan Futures Exchange (TAIFEX) demonstrates the significant improvements of the PRS model in both in-sample and out-of-sample periods. Our results also show that the introduction of after-hour trading sessions has provided valuable information for volatility forecasting in subsequent regular trading sessions, emphasizing the importance of considering diverse information flows across different trading and non-trading times. The PRS model effectively captures the dynamics of non-trading and trading sessions and the influence of unusual news arrivals and jumps on market volatility, contributing to investment and risk management strategies. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 13872834
- Volume :
- 31
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Asia-Pacific Financial Markets
- Publication Type :
- Academic Journal
- Accession number :
- 177464192
- Full Text :
- https://doi.org/10.1007/s10690-023-09415-w