In this paper we analyze the influence of news on persistence using some variables related to technical analysis. The method is applied to some assets of the italian MIB30. It has been observed that the introduction of technical rules in the variance equation can reduce the volatility persistence and improve the forecasting performance of the models
Analisi tecnica e previsione della volatilità nelle serie storiche finanziarie
GROSSI, Luigi
2001-01-01
Abstract
In this paper we analyze the influence of news on persistence using some variables related to technical analysis. The method is applied to some assets of the italian MIB30. It has been observed that the introduction of technical rules in the variance equation can reduce the volatility persistence and improve the forecasting performance of the models
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