摘要
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.
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.
基金
Supported by the Natural Science Foundation of Ningbo(2018A610130)
National Statistical Science Research Program(2019LY71)
MOE(Ministry of Education in China)Liberal Arts and Social Sciences Foundation
National Natural Science Foundation of China(11771399)
Ningbo Soft Science Foundation(2017A10113)
Fujian Education Department(JT180444).
