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| Author: | Gallo, G. M. Pacini, B. |
| Title: | The effects of trading activity on market volatility |
| Journal: | The European Journal of Finance
2000 : JUN, VOL. 6:2, p. 163-175 |
| Index terms: | Stocks Trading volumes Market efficiency Volatility USA Models Stock returns |
| Freeterms: | GARCH |
| Language: | eng |
| Abstract: | The paper re-examines the question of excessive implied persistence of volatility estimates when GARCH-type models are used. Ten actively traded US stocks are considered and as already established in the literature, when volume traded is inserted in the GARCH or EGARCH models for returns, the estimated persistence is decreased. |
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