Can Technical Indicators Provide Information for Future Volatility: International Evidence

Yafeng Shi, Xiangxing Tao, Yanlong Shi, Nenghui Zhu, Tingting Ying, Xun Peng

Research output: Journal PublicationArticlepeer-review

3 Citations (Scopus)

Abstract

We employ the static and dynamic copula models to investigate whether technical indicators provide information on volatility in the next trading day, where the volatility is measured by daily realized volatility. Our empirical results, based on long samples of 8 well-known stock indexes, suggest that a significant and asymmetric tail dependence between the technical indicators based on moving average and the next day volatility. The level of dependence change over time in a persistent manner. And the dependence structure presents some distinct differences between emerging market indexes and developed market indexes. These results indicate that the technical indicators can provide information on the next day volatility at extremes, and are less informative at normal market.

Original languageEnglish
Pages (from-to)53-66
Number of pages14
JournalJournal of Systems Science and Information
Volume8
Issue number1
DOIs
Publication statusPublished - 25 Feb 2020

Keywords

  • copula
  • high frequency data
  • tail dependence
  • technical indicator
  • volatility

ASJC Scopus subject areas

  • General Decision Sciences
  • Control and Systems Engineering
  • Statistics and Probability
  • Economics, Econometrics and Finance (all)
  • Computer Networks and Communications
  • Applied Mathematics

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