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 InfoPaper provided by Wisconsin Madison - Social Systems in its series Working papers with number 9002.
Length: 15 pages
Date of creation: 1990
Date of revision:
Contact details of provider:
Postal: UNIVERSITY OF WISCONSIN MADISON, SOCIAL SYSTEMS RESEARCH INSTITUTE(S.S.R.I.), MADISON WISCONSIN 53706 U.S.A.
evaluation ; tests ; econometrics;
Other versions of this item:
- LeBaron, Blake, 1992. "Some Relations between Volatility and Serial Correlations in Stock Market Returns," The Journal of Business, University of Chicago Press, vol. 65(2), pages 199-219, April.
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