The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range

Neda Todorova and Michael Soucek

Economic Modelling, 2014, vol. 36, issue C, 332-340

Abstract: Intraday data of 26 German stocks are used to investigate whether the information contained in trading volume and number of trades as well as in various specifications of overnight returns can improve one-step-ahead volatility forecasts. For this purpose, a HAR model of the realized range adjusted for discrete trading is augmented by each of these variables and compared with the model's default form. The results show that the considered liquidity measures lead to very modest improvements in forecasting performance. The overnight returns exhibit some in-sample forecasting power. However, the accuracy improvement of out-of-sample forecasts is unequivocally non-significant.

Keywords: Volatility forecasting; HAR model; Realized range; Overnight returns; Trading volume; Number of trades (search for similar items in EconPapers)
JEL-codes: C13 C14 C22 C53 G17 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (14)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S026499931300429X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:36:y:2014:i:c:p:332-340

DOI: 10.1016/j.econmod.2013.10.003

Access Statistics for this article

Economic Modelling is currently edited by S. Hall and P. Pauly

More articles in Economic Modelling from Elsevier
Bibliographic data for series maintained by Catherine Liu ().