Some Relations between Volatility and Serial Correlations in Stock Market Returns
AbstractThis article explores the relation between serial correlation and volatility for several different stock return series at daily and weekly frequencies. It is found that serial correlations are changing over time and are related to stock return volatility. An extension to the GARCH model is proposed and estimated, revealing parameters consistent with other findings in this article. Copyright 1992 by University of Chicago Press.
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Bibliographic InfoArticle provided by University of Chicago Press in its journal Journal of Business.
Volume (Year): 65 (1992)
Issue (Month): 2 (April)
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Web page: http://www.journals.uchicago.edu/JB/
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