This paper uses four asymmetric generalized autoregressive conditional heteroskedasticity (GARCH) models, which are GJR-GARCH, NA-GARCH, Threshold GARCH (T-GARCH), and AV-GARCH to compare their performance on value-at-risk (VaR) forecasting to the symmetric GARCH model. In addition, we adopt...

Investors have been working hard to find the best trading strategy. Previous studies suggest that order imbalance can be a state variable in explaining cross sectional stock return. In this article, we examine dynamic relations between order imbalance, volatility and stock return of top gainers....

This study investigates the convergence process toward efficiency of daily top gainers. The convergence process toward efficiency is much clearer as a result of using a GARCH(1, 1) model compared to the OLS model, and exhibits a monotonic decline as the time interval increases. The...

Many researches indicate informed trading during Leveraged buy-out (LBO) processes. In this study, we examine intraday dynamic relations between order imbalance, volatility and stock returns. The dynamic relation between volatility and order imbalances by a time-varying GARCH model is...

This study investigates the convergence process toward efficiency of daily top losers. We find that significance of order imbalance coefficients decreases with increasing time interval, indicating evidences on convergence to market efficiency. A time-varying GARCH model is employed to examine...