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 language | English |
|---|---|
| Pages (from-to) | 53-66 |
| Number of pages | 14 |
| Journal | Journal of Systems Science and Information |
| Volume | 8 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 25 Feb 2020 |
Keywords
- copula
- high frequency data
- tail dependence
- technical indicator
- volatility
ASJC Scopus subject areas
- Decision Sciences (all)
- Control and Systems Engineering
- Statistics and Probability
- Economics, Econometrics and Finance (all)
- Computer Networks and Communications
- Applied Mathematics