Stochastic Modeling of Security Returns: Evidence from the Helsinki Stock Exchange

G. Geoffrey Booth, John Hatem, Ilkka Virtanen, Paavo Yli-Olli

Research output: Contribution to journalArticlepeer-review

29 Scopus citations

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 languageAmerican English
JournalEuropean Journal of Operational Research
Volume56
DOIs
StatePublished - Jan 1 1992

Disciplines

  • Finance and Financial Management

Keywords

  • Evidence
  • Helsinki stock exchange
  • Security returns
  • Stochastic modeling

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