Abstract
This paper documents the presence of linear and nonlinear dependencies in Finnish stock returns and models these dependencies using autoregressive conditional heteroscedastic methods. Three conditional distributions (normal, Student-t, and the power exponential) are explored. The statistical estimates and the corresponding diagnostic tests indicate that a GARCH (1, 1) model with a power exponential conditional distribution, which is characterized by an autoregressive mean, represents the data better than any of the other models examined.
Original language | American English |
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Journal | European Journal of Operational Research |
Volume | 56 |
DOIs | |
State | Published - Jan 1 1992 |
Disciplines
- Finance and Financial Management
Keywords
- Evidence
- Helsinki stock exchange
- Security returns
- Stochastic modeling