About: The Effects of US Volatility on Smaller Markets

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Description	In this paper, alternative models are proposed which take account of volatility in the US market. One obvious modification is to use GARCH forecasts of volatility from the USA in explaining volatility in smaller markets. Here a positive effect is expected (so that both returns move in the same direction). While this has its attractions, one-step ahead ex ante forecasts from GARCH models are awkward to calculate and a simpler alternative is to use recent observed values of the actual return in the US market in the variance equation for a second market. This can be supported by arguing that this information is more easily available than GARCH forecasts and so is more likely to be used by market participants. In this paper, alternative models are proposed which take account of volatility in the US market. One obvious modification is to use GARCH forecasts of volatility from the USA in explaining volatility in smaller markets. Here a positive effect is expected (so that both returns move in the same direction). While this has its attractions, one-step ahead ex ante forecasts from GARCH models are awkward to calculate and a simpler alternative is to use recent observed values of the actual return in the US market in the variance equation for a second market. This can be supported by arguing that this information is more easily available than GARCH forecasts and so is more likely to be used by market participants. (en)
Title	The Effects of US Volatility on Smaller Markets The Effects of US Volatility on Smaller Markets (en)
skos:prefLabel	The Effects of US Volatility on Smaller Markets The Effects of US Volatility on Smaller Markets (en)
skos:notation	RIV/61989100:27510/03:00007606!RIV/2004/MSM/275104/N
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http://linked.open...vai/riv/dodaniDat	2004
http://linked.open...aciTvurceVysledku	Hančlová, Jana
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Vysoká škola báňská - Technická univerzita Ostrava / Ekonomická fakulta
http://linked.open...dnocenehoVysledku	605330
http://linked.open...ai/riv/idVysledku	RIV/61989100:27510/03:00007606
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	Financial Markets, Markets Volatility, Forecasting, International Linkages (en)
http://linked.open.../riv/klicoveSlovo	Financial Markets Forecasting International Linkages Markets Volatility
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http://linked.open...v/mistoKonaniAkce	London
http://linked.open...i/riv/mistoVydani	London, UK
http://linked.open...i/riv/nazevZdroje	EURO Working Group on Financial Modelling
http://linked.open...in/vavai/riv/obor	AH
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http://linked.open...UplatneniVysledku	2003
http://linked.open...iv/tvurceVysledku	Hančlová, Jana Holden, Ken Laws, Jason
http://linked.open...vavai/riv/typAkce	EUR - Evropská
http://linked.open.../riv/zahajeniAkce	2003-04-24 (xsd:date)
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number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Imperial College Management School
http://localhost/t...ganizacniJednotka	27510

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