We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular … practically always improves upon the na?ve forecast provided by historical volatility. As a somewhat surprising result, we also …

Dufour and Engle (J. Finance (2000) 2467) find evidence of an increased presence of informed traders when the NYSE … trading volume is high, empirical findings suggest presence of informed trading in both liquid and illiquid stocks. When … volume is low, market activity is likely due to liquidity trading. Finally, for the actively traded stocks, our results …

futures on day trades. The purpose is to find out if a contemporaneous or causal relation exists between volatility volume and … according to this study establishes that volume has a stronger impact on volatility compared to open interest. Furthermore, the … impulse originating from volatility of volume and open interest is low. …

The present research investigates the impact of trading volume on stock return volatility using data from the Greek … banking system. For our analysis, the empirical study uses daily measures of volatility constructed from intraday data for the … Exchange in June 2015. Based on the estimated quantile regressions, we find evidence of a direct impact of the trading volume …

We propose a general form of vector Multiplicative Error Model (MEM) for the dynamics of duration, volume and price … volatility. The vector MEM relaxes the two restrictions often imposed by previous empirical work in market microstructure … the market. But we highlight that it is unexpected component of trading duration or trading volume that carry the …

Background: This paper examines the pattern of the volatility of the daily return of select commodity futures in India … the analysis. The GARCH model is introduced for examining the volatility of commodity futures. One of the key … hypothesis, when tested by daily returns and using standard deviation as a crude measure of volatility, is supported for gold …

The research investigated the impact of macroeconomic variables on the volatility of the commodity futures market in … daily price volatility is studied in the research employed by the GARCH-MIDAS model. This model simplifies the series of … volatility into long- and short-run modules, which allow for the testing of the macroeconomic variables can control the long …

GARCH-type models dominate as VaR estimators the overall objective of this paper is to perform comprehensive volatility and … VaR estimation for three major digital assets and conclude which method gives the best results in terms of risk management …. The methods we used are parametric (GARCH and EWMA model), non-parametric (historical VaR) and Monte Carlo simulation …