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Alternative Models for the Conditional Heteroscedasticity of Stock Returns

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Author Info
Kim, Dongcheol
Kon, Stanley J
Abstract

This article compares econometric model specifications that have been proposed to explain the commonly observed characteristics of the unconditional distribution of daily stock returns. The empirical results indicate that the most likely ranking is (1) intertemporal dependence models, (2) Student t, (3) generalized mixture-of-normal distributions, (4) Poisson jump, and (5) the stationary normal. Among the intertemporal dependence models for conditional heteroscedasticity, those with a leverage (or asymmetry) effect are superior. The Glosten, Jagannathan, and Runkle specification is the most descriptive for individual stocks, while Nelson's exponential model is the most likely for stock indexes. Copyright 1994 by University of Chicago Press.

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Article provided by University of Chicago Press in its journal Journal of Business.

Volume (Year): 67 (1994)
Issue (Month): 4 (October)
Pages: 563-98
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Handle: RePEc:ucp:jnlbus:v:67:y:1994:i:4:p:563-98

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  3. Lüders, Erik, 2002. "Asset Prices and Alternative Characterizations of the Pricing Kernel," ZEW Discussion Papers 02-10, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research. [Downloadable!]
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  5. Hyytinen, Ari, 1999. "Stock Return Volatility on Scandinavian Stock Markets and the Banking Industry," Research Discussion Papers 19/1999, Bank of Finland. [Downloadable!]
  6. N. K. Chidambaran & Chi-Wen Jevons Lee & Joaguin R. Trigueros, 1998. "An Adaptive Evolutionary Approach to Option Pricing via Genetic Programming," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-086, New York University, Leonard N. Stern School of Business-. [Downloadable!]
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