 Asymmetric effect of trading volume on realized volatilityDaiki Maki International Review of Economics & Finance, 2024, vol. 94, issue C Abstract: This study examines the asymmetric effect of trading volume on realized volatility and introduces two new realized volatility models to examine this effect: one model uses asymmetric trading volume variables based on intraday returns, while the other uses asymmetric trading volume variables based on daily returns. These new variables are introduced into the heterogeneous autoregressive models with the leverage effect and realized semivariance. The in-sample estimation results show that the asymmetric trading volume variables are clearly significant. Furthermore, out-of-sample forecasting comparisons indicate that asymmetric trading volume variables increase the forecasting performance of realized volatility. These empirical analyses demonstrate that considering asymmetric trading volume in modeling and forecasting realized volatility is important. This study’s findings provide valuable information for understanding and controlling asset and market risks. Keywords: Realized volatility; Trading volume; Asymmetric effect; Forecast performance (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003800 DOI: 10.1016/j.iref.2024.103388 Access Statistics for this article International Review of Economics & Finance is currently edited by H. Beladi and C. Chen More articles in International Review of Economics & Finance from Elsevier |
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