Abstract:This paper tries to investigate whether the information contained in trading volume volatilities of spot and futures may be statistically useful in explaining the volatility of korean stock market. This paper uses both the component-jump model and the bivariate GJR-GARCH type BEKK model to estimate the trading volume volatilities of spot and futures from 1/2/2001 to 9/30/2010. By using the component-jump model, the volume volatility is decomposed into a permanent component and a transitory component. According… Show more
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