Stochastic modeling of security returns: Evidence from the Helsinki Stock Exchange

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

doi:10.1016/0377-2217(92)90295-K

Stochastic modeling of security returns: Evidence from the Helsinki Stock Exchange

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

Finance

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	98-106
Number of pages	9
Journal	European Journal of Operational Research
Volume	56
Issue number	1
DOIs	https://doi.org/10.1016/0377-2217(92)90295-K
State	Published - Jan 10 1992

Scopus Subject Areas

General Computer Science
Modeling and Simulation
Management Science and Operations Research
Information Systems and Management

Keywords

GARCH
Time series
distributions
finance
stochastic

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10.1016/0377-2217(92)90295-K

Cite this

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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.",

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KW - Time series

KW - distributions

KW - finance

KW - stochastic

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Stochastic modeling of security returns: Evidence from the Helsinki Stock Exchange

Abstract

Scopus Subject Areas

Keywords

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