Sidorov, Sergei; Date, Paresh; Balash, Vladimir - In: Applied Econometrics 29 (2013) 1, pp. 82-96
In this paper we analyze the impact of extraneous sources of information (viz. news and trade volume) on stock volatility by considering some augmented GARCH models. We suppose that trading volume can be considered as a proportional proxy for information arrivals to the market. Then we will...