Forecasting Trading-Session Return Volatility in Taiwan Futures Market: A Periodic Regime Switching with Jump Approach

IF 2.5 Q2 ECONOMICS

Asia-Pacific Financial Markets Pub Date : 2023-09-08 DOI:10.1007/s10690-023-09415-w

Yi-Hao Lai, Yi-Chiuan Wang, Yu-Ching Chang

引用次数: 0

Abstract

This study develops a novel periodic regime-switching model (the PRS model) to improve the forecasting of stock market volatility by accounting for the information from non-trading and trading periods, including regular trading and after-hour trading. Empirical analysis of the Taiwan Futures Exchange (TAIFEX) demonstrates the significant improvements of the PRS model in both in-sample and out-of-sample periods. Our results also show that the introduction of after-hour trading sessions has provided valuable information for volatility forecasting in subsequent regular trading sessions, emphasizing the importance of considering diverse information flows across different trading and non-trading times. The PRS model effectively captures the dynamics of non-trading and trading sessions and the influence of unusual news arrivals and jumps on market volatility, contributing to investment and risk management strategies.

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台湾期货市场交易时段收益率波动预测：跳变方法的周期性制度转换

本研究建立了一个新颖的周期性制度转换模型（PRS 模型），通过考虑非交易期和交易期（包括正常交易期和盘后交易期）的信息来改进对股市波动性的预测。对台湾期货交易所（TAIFEX）的实证分析表明，PRS 模型在样本内和样本外均有显著改善。我们的结果还表明，引入盘后交易时段为后续正常交易时段的波动率预测提供了有价值的信息，强调了考虑不同交易时段和非交易时段信息流的重要性。PRS 模型有效地捕捉了非交易时段和交易时段的动态，以及不寻常新闻到达和跳跃对市场波动的影响，有助于投资和风险管理策略。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Asia-Pacific Financial Markets ECONOMICS-

CiteScore

3.00

自引率

0.00%

发文量

期刊介绍： The current remarkable growth in the Asia-Pacific financial markets is certain to continue. These markets are expected to play a further important role in the world capital markets for investment and risk management. In accordance with this development, Asia-Pacific Financial Markets (formerly Financial Engineering and the Japanese Markets), the official journal of the Japanese Association of Financial Econometrics and Engineering (JAFEE), is expected to provide an international forum for researchers and practitioners in academia, industry, and government, who engage in empirical and/or theoretical research into the financial markets. We invite submission of quality papers on all aspects of finance and financial engineering. Here we interpret the term ''financial engineering'' broadly enough to cover such topics as financial time series, portfolio analysis, global asset allocation, trading strategy for investment, optimization methods, macro monetary economic analysis and pricing models for various financial assets including derivatives We stress that purely theoretical papers, as well as empirical studies that use Asia-Pacific market data, are welcome. Officially cited as: Asia-Pac Financ Markets