The Role of US Variables in Long-Run and Short-Run Taiwan Stock Volatility

Shih-Wei Chao

Emerging Markets Finance and Trade, 2019, vol. 55, issue 5, 1153-1170

Abstract: This article uses the GARCH-MIDAS model to decompose Taiwan stock volatility and studies the role of US economic variables in each component. The full-sample results indicate that the additional explanatory information of US variables is contributed mostly by stock market measures, and the link between short-run Taiwan and US stock volatility is particularly evident. The out-of-sample results suggest that the in-sample significant US variables lead to slightly smaller forecast errors for both volatility components, but the improvements are very limited. The analysis also extends to Electronics and Non-Electronics subindices, a range-based volatility estimator and a different volatility decomposition method. Despite these alternatives, the main conclusions do not change.

Date: 2019
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/1540496X.2018.1464908 (text/html)
Access to full text is restricted to subscribers.

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:mes:emfitr:v:55:y:2019:i:5:p:1153-1170

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/MREE20

DOI: 10.1080/1540496X.2018.1464908

Access Statistics for this article

More articles in Emerging Markets Finance and Trade from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().