The Stability of ARCH Models Across Australian Financial Markets
AbstractThis paper esplores the applicability of ARCH/ GARCH models to Australian financial structure data. In particular we focus on the extent to which the parameters of the models change over time by analysing the data contract. We find the results to vary over time and that simple models such as the ARCH(1) model provide a seasonably good fit to the data.
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Bibliographic InfoPaper provided by Melbourne - Centre in Finance in its series Papers with number 96-9.
Length: 32 pages
Date of creation: 1996
Date of revision:
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Postal: Centre in Finance, Department of Economics and Finance, Faculty of Business, RMIT GPO Box 2476V Melbourne, Vic 3000 Australia.
Phone: +61 3 9925 5858
Fax: +61 3 9925 5986
Web page: http://www.rmit.edu.au/bus/ecofin
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FINANCIAL MARKET; PRICES; ECONOMIC MODELS;
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- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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