| Summary: | 碩士 === 國立交通大學 === 科技管理研究所 === 100 === While the stock volatility has been extensively investigated, the transnational research is relatively unexplored. This paper studies influences on stock return volatility after entering trading volume, intraday high-low range volatility and intra-day volatility (IDV) in GARCH (1,1) model. Moreover, the study compares the forecasting efficiency across the four models by using out-of-sample data. Using stock indexes from the 24 countries as an example, the period is from January 1, 2007 to December 31, 2011. Furthermore, the data of this study are categorized into the two groups, the developed and developing countries, in order to ascertain differences between them. The first finding suggests that the three variables make a greater impact on the stock return volatility in the developing countries in comparison with the developed countries. The second finding suggests that the forecasting efficiency for GARCH (1,1) model entering trading volume, intraday high-low range volatility, intra-day volatility (IDV) and without variables are similar across the 22 countries. The forecasting efficiency of GARCH (1,1) model with trading volume is slightly better than the other models among the 22 countries. However, there are no significant differences among the 4 models.
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