A TARCH examination of the return volatility–volume relationship in electricity futures

Lester Hadsell

31 citations0/0 files storedApplied Financial Economics

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Financial Risk and Volatility Modeling Financial Markets and Investment Strategies Market Dynamics and Volatility

Abstract

Four electricity futures markets on NYMEX between 1996 and 1999 are examined using a TARCH model. The evidence suggests traders had an asymmetric reaction to new information. Evidence also is found for a correlation between futures returns and trading volume in two markets (COB and PV).

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References

1986Generalized autoregressive conditional heteroskedasticity 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1987The Relation Between Price Changes and Trading Volume: A Survey 1994Threshold heteroskedastic models 1983The Price Variability-Volume Relationship on Speculative Markets 2003Forecasting Volatility in Financial Markets: A Review

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2010Volatility and Volume Effects in European Electricity Spot Markets 2019The relationship between trading activity and stock market volatility: Does the volume threshold matter?

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