Time Varying Price Discovery
9 Pages Posted: 11 Sep 2014 Last revised: 7 Mar 2019
Date Written: January 1, 2015
We show how multivariate GARCH models can be used to generate a time-varying “information share” (Hasbrouck, 1995) to represent the changing patterns of price discovery in closely related securities. By focusing on credit spreads obtained from different markets, we also find that a time-varying information share can improve credit spread predictions.
Keywords: credit spreads, price discovery, multivariate GARCH
JEL Classification: G01, G14
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