Year: 1994
Author: Funke, Michael
Credit and Capital Markets – Kredit und Kapital, Vol. 27 (1994), Iss. 3 : pp. 348–362
Abstract
Stock returns have long been recognized to be heteroscedastic as well as leptokurtic. One model that captures both characteristics is the GARCH process. This article is concerned with modelling the dynamic and distributional properties of fine frequency West German stock market data from January 1, 1987 to December 31, 1990. The stylized results are that the conditional heteroscedasticity in daily stock returns is well represented by a stochastic GARCH (1,1) process with near unit roots.
Journal Article Details
Publisher Name: Global Science Press
Language: Multiple languages
DOI: https://doi.org/10.3790/ccm.27.3.348
Credit and Capital Markets – Kredit und Kapital, Vol. 27 (1994), Iss. 3 : pp. 348–362
Published online: 1994-03
AMS Subject Headings: Duncker & Humblot
Copyright: COPYRIGHT: © Global Science Press
Pages: 15
Author Details
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