Modeling of returns and trading volume by regime switching copulas

• Autorzy: Gurgul H. , Machno A. , Mestel R.

Warianty tytułu

PL

Modelowanie stóp zwrotu i wielkości obrotów za pomocą kopuł przełącznikowych

• Języki publikacji: EN

Abstrakty

EN

The structure of links between realized volatility and trading volume can be reflected by regime switching copulas. The estimation by means of copula based regime switching models delivered results concerning the interdependencies between realized return volatility and trading volume of selected companies listed in ATX. A copula in the first regime was chosen as an asymmetric copula with positive lower and upper tail dependencies. Conversely Gaussian copula in the second regime is a symmetric copula and variables linked with it are tail independent. For all analyzed stocks the probability of being at the first regime appeared to be vitally greater than being at the second regime. This result suggest that there is considerable dependence between realized volatility and daily volume in extreme values. The results suggest that interdependencies between realized volatility and trading volume do not probably depend on the size but rather on the branch of a company.

PL

Struktura zależności pomiędzy zmiennością zrealizowaną a wielkością obrotów może być oddana za pomocą kopuł przełącznikowych. Estymacja za pomocą kopuł przełącznikowych dostarczyła wyniki dotyczące zależności pomiędzy zmiennością zrealizowaną a wielkością obrotów wybranych spółek notowanych w indeksie ATX na Giełdzie Wiedeńskiej. W pierwszym reżimie została wybrana asymetryczna kopuła z dodatnimi zależnościami w ogonach. Natomiast w drugim reżimie została wybrana kopuła Gaussa, która jest symetryczna oraz łączy zmienne niezależne w ogonach. W przypadku wszystkich badanych spółek prawdopodobieństwo przebywania w pierwszym reżimie okazało się znacznie większe. Taki wynik sugeruje, iż na rynku istnieje zależność dla ekstremalnych wartości między zmiennością zrealizowaną a wielkością obrotów. Uzyskane wyniki sugerują, że na silę zależności nie ma prawdopodobnie wpływu wielkość spółki, a istotnym czynnikiem jest tu przypuszczalnie branża, do której spółka przynależy.

Słowa kluczowe

EN

stock return volatility; trading volume; interdependency; regime switching copulas

PL

zmienność stóp zwrotu; wielkość obrotów; zależność; kopule przełącznikowe

• Wydawca: Wydawnictwa AGH
• Czasopismo: Managerial Economics
• Rocznik: 2013
• Tom: nr 13
• Strony: 45--64
• Opis fizyczny: Bibliogr. 46 poz., tab., wykr.

Twórcy

autor

Gurgul H.

• AGH University of Science and Technology in Cracow, Department of Applications of Mathematics in Economics

autor

Machno A.

• AGH University of Science and Technology in Cracow, Department of Applications of Mathematics in Economics

autor

Mestel R.

• University of Applied Sciences Joanneum in Graz, Department of Banking and Insurance

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