GARCH model with cross-sectional volatility; GARCHX models
Hwang, Soosung and Satchell, S. (Stephen) (2001) GARCH model with cross-sectional volatility; GARCHX models. Working Paper. Coventry: Warwick Business School, Financial Econometrics Research Centre. (Working papers (Warwick Business School. Financial Econometrics Research Centre)).
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This study introduces GARCH models with cross-sectional market volatility, which we call GARCHX model. The cross-sectional market volatility is equlvalent to common heteroskedasticity in asset specific returns, which was suggested by Connor and Linton (2001) as an important component in individual asset volatility. Using UK and US data, we find that daily return volatility can be better specified with GARCHX models, but GARCHX models do not necessarily perform better than conventional GARCH models in forecasting.
|Item Type:||Working or Discussion Paper (Working Paper)|
|Alternative Title:||Generalized autoregressive conditional heteroskedasticity model with cross-sectional volatility; GARCHX models|
|Subjects:||H Social Sciences > HB Economic Theory|
|Divisions:||Faculty of Social Sciences > Warwick Business School > Financial Econometrics Research Centre
Faculty of Social Sciences > Warwick Business School
|Library of Congress Subject Headings (LCSH):||Heteroscedasticity, Analysis of variance, Economic forecasting, Assets (Accounting)|
|Series Name:||Working papers (Warwick Business School. Financial Econometrics Research Centre)|
|Publisher:||Warwick Business School, Financial Econometrics Research Centre|
|Place of Publication:||Coventry|
|Number of Pages:||35|
|Status:||Not Peer Reviewed|
|Access rights to Published version:||Open Access|
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