頁籤選單縮合
| 題 名 | Beating the Random Walk: Intraday Seasonality and Volatility in a Developing Stock Market |
|---|---|
| 作 者 | Goh, Kim-Leng; Kok, Kim-Lian; | 書刊名 | International Journal of Business and Economics |
| 卷 期 | 5:1 民95.04 |
| 頁 次 | 頁41-59 |
| 分類號 | 563.54 |
| 關鍵詞 | Calendar effects; Forecast; ARCH models; Random walk; |
| 語 文 | 英文(English) |
| 英文摘要 | Historical prices information has not been exhaustively exploited in forecasting the 10-minute-ahead Composite Index of the Malaysian stock market. A simple model incorporating intraday seasonality can have lower forecast errors than a random walk. Improved accuracy is achieved when time-varying volatility is included in the time-of-day seasonal model for both in-sample and out-of-sample forecasts. The updating of parameter estimates of these volatility models at each new forecast origin to incorporate the latest available information leads to further improvement in forecast performance. |
本系統中英文摘要資訊取自各篇刊載內容。